Convergence of the Euler–Maruyama method for CIR model...

Mathematics and Computers in Simulation 2020 / 11 Vol. 177

Convergence of the Euler–Maruyama method for CIR model with Markovian switching

Zhang, Zhenzhong, Zhou, Tiandao, Jin, Xinghu, Tong, Jinying
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Volume:
177
Journal:
Mathematics and Computers in Simulation
DOI:
10.1016/j.matcom.2020.04.013
Date:
November, 2020
File:
PDF, 497 KB
2020
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