SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the discretization schemes for the CIR (and Bessel squared) processes
4 references·16 citing·33 second hop
On the discretization schemes for the CIR (and Bessel squared) processes (2005)On the discretization schemes for the CIR…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The law of the Euler scheme for stochastic differential equations (1996)The law of the Euler scheme f…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations (2024)Local Lipschitz Continuity in…THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)THE 4/2 STOCHASTIC VOLATILITY…An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (2016)An Explicit Euler Scheme with…First order strong approximations of scalar SDEs defined in a domain (2014)First order strong approximat…Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations (2013)Localization and Exact Simula…Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process (2012)Strong order one convergence …Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (2012)Parameter Estimation for the …An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)An Euler-type method for the …A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients (2011)A note on Euler approximation…Time Dependent Heston Model (2010)Time Dependent Heston ModelNumerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model (2010)Numerical simulation of a str…High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)High order discretization sch…Gamma expansion of the Heston stochastic volatility model (2009)Gamma expansion of the Heston…Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients (2008)Pathwise approximation of sto…Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence (2007)Euler scheme for SDEs with no…A Comparison of Biased Simulation Schemes for Stochastic Volatility Models (2006)A Comparison of Biased Simula…Brownian Motion and Stochastic Calculus (1998)Loss of regularity for Kolmogorov equations (2015)Numerical solution of stochastic differential equations (2016)On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients (2020)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Pricing Interest-Rate-Derivative Securities (1990)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Monte Carlo Methods in Financial Engineering (2003)A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (2017)A General Valuation Framework for SABR and Stochastic Local Volatility Models (2018)Stochastic Differential Equations and Diffusion Processes (1983)The Euler scheme for Lévy driven stochastic differential equations (1997)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)The Malliavin Calculus and Related Topics (2006)Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Continuous Martingales and Brownian Motion (1999)Smart expansion and fast calibration for jump diffusions (2009)Riding on the smiles (2011)Explicit implied volatilities for multifactor local-stochastic volatility models (2017)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1996The law of the Euler scheme for stochastic differential equations375 cited

Cited by

  • 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models169 cited
  • 2016THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL163 cited
  • 2010Time Dependent Heston Model160 cited
  • 2011An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process147 cited
  • 2014First order strong approximations of scalar SDEs defined in a domain134 cited
  • 2007Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence128 cited
  • 2011A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients124 cited
  • 2010Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model105 cited
  • 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Models105 cited
  • 2012Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

103 cited
  • 2009Gamma expansion of the Heston stochastic volatility model103 cited
  • 2008Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients73 cited
  • 2016An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients64 cited
  • 2013Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations58 cited
  • 2012Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases57 cited
  • 2024Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations52 cited