Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
We study convergence properties of the full truncation Euler scheme for the Cox–Ingersoll–Ross process in the regime where the boundary point zero is inaccessible. Under some conditions on the model parameters (precisely, when the so-called Feller ratio is greater than three), we establish the stron...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Oxford University Press
2018
|