Functional limit theorems for additive and multiplicative schemes in the Cox–Ingersoll–Ross model
In this paper, we consider the Cox–Ingersoll–Ross (CIR) process in the regime where the process does not hit zero. We construct additive and multiplicative discrete approximation schemes for the price of asset that is modeled by the CIR process and geometric CIR process. In order to construct these...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2016-03-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA48 |