Affiliation:
1. Mathematical Institute, University of Oxford, Oxford, UK
Abstract
Abstract
We study convergence properties of the full truncation Euler scheme for the Cox–Ingersoll–Ross (CIR) process in the regime where the boundary point zero is inaccessible. Under some conditions on the model parameters (precisely, when the so-called Feller ratio is greater than three) we establish the strong order 1/2 convergence in $L^{p}$ of the scheme to the exact solution. For the global error criterion studied in this paper this is consistent with the optimal rate of strong convergence for approximations to the CIR process based on sequential evaluations of the driving Brownian motion.
Funder
Engineering and Physical Sciences Research Council
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Computational Mathematics,General Mathematics
Cited by
17 articles.
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