Second-Order Weak Approximations of CKLS and CEV Processes by Discrete Random Variables
In this paper, we construct second-order weak split-step approximations of the CKLS and CEV processes that use generation of a three−valued random variable at each discretization step without switching to another scheme near zero, unlike other known schemes (Alfonsi, 2010; Mackevičius, 2011). To the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/12/1337 |