Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times

Publisher: Cambridge University Press

E-ISSN: 1475-6064|48|4|1095-1116

ISSN: 0001-8678

Source: Advances in Applied Probability, Vol.48, Iss.4, 2017-01, pp. : 1095-1116

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Abstract