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most citedOptimal Strong Convergence Rate of a Backward Euler Type Scheme for the Cox--Ingersoll--Ross Model Driven by Fractional Brownian Motion

37 citations · 44 across the 4 of their papers we have counts for

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math.NA2018★ 37 cited

Optimal Strong Convergence Rate of a Backward Euler Type Scheme for the Cox--Ingersoll--Ross Model Driven by Fractional Brownian Motion

Jialin Hong, Chuying Huang, Minoo Kamrani +1

In this paper, we investigate the optimal strong convergence rate of numerical approximations for the Cox--Ingersoll--Ross model driven by fractional Brownian motion with Hurst par…