| Title |
Second-order weak approximations of CKLS and CEV processes by discrete random variables |
| Authors |
Lileika, Gytenis ; Mackevičius, Vigirdas |
| DOI |
10.3390/math9121337 |
| Full Text |
|
| Is Part of |
Mathematics.. Basel : MDPI. 2021, vol. 9, iss. 12, art. no. 1337, p. [1-20].. eISSN 2227-7390 |
| Keywords [eng] |
Weak approximations ; second-order, split-step, CKLS ; CEV |
| Abstract [eng] |
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 other schemes near zero, unlike other known schemes. The accuracy of constructed approximations is illustrated by several simulation examples. |
| Published |
Basel : MDPI |
| Type |
Journal article |
| Language |
English |
| Publication date |
2021 |
| CC license |
|
