High order discretization schemes for the CIR process: Application to affine term structure and Heston models
Author:
Publisher
American Mathematical Society (AMS)
Subject
Applied Mathematics,Computational Mathematics,Algebra and Number Theory
Link
http://www.ams.org/mcom/2010-79-269/S0025-5718-09-02252-2/S0025-5718-09-02252-2.pdf
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