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IMA Journal of Numerical Analysis 2018 / 10

Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process

Cozma, Andrei, Reisinger, Christoph
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Journal:
IMA Journal of Numerical Analysis
DOI:
10.1093/imanum/dry067
Date:
October, 2018
File:
PDF, 674 KB
2018
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