most citedStrong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries

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math.NA2014★ 23 cited

Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries

Martin Hutzenthaler, Arnulf Jentzen, Marco Noll

Cox-Ingersoll-Ross (CIR) processes are widely used in financial modeling such as in the Heston model for the approximative pricing of financial derivatives. Moreover, CIR processes…