High order discretization schemes for the CIR process: Application to affine term structure and Heston models

Published 2009 View Full Article

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Title
High order discretization schemes for the CIR process: Application to affine term structure and Heston models
Authors
Keywords
-
Journal
MATHEMATICS OF COMPUTATION
Volume 79, Issue 269, Pages 209-209
Publisher
American Mathematical Society (AMS)
Online
2009-09-23
DOI
10.1090/s0025-5718-09-02252-2

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