Weak approximation of CKLS and CEV processes by discrete random variables
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10986-020-09474-w.pdf
Reference9 articles.
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3. K.C. Chan, G.A. Karolyi, F.A. Longstaff, and A.B. Sanders, An empirical comparison of alternative models of the short-term interest rate, J. Finance, 47:1209–1227, 1992.
4. J.C. Cox, Notes on option pricing I: Constant elasticity of variance diffusions, The Journal of Portfolio Management, 23:15–17, 1996.
5. J.C. Cox, J.E. Ingersoll, and S.A. Ross, A theory of the term structure of interest rates, Econometrica, 53:385–407, 1985.
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Weak Approximations of the Wright–Fisher Process;Mathematics;2022-01-01
2. Second-Order Weak Approximations of CKLS and CEV Processes by Discrete Random Variables;Mathematics;2021-06-09
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