Weak Approximations of the Wright–Fisher Process
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- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164,
World Scientific Publishing Co. Pte. Ltd..
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- Gytenis Lileika & Vigirdas Mackevičius, 2021. "Second-Order Weak Approximations of CKLS and CEV Processes by Discrete Random Variables," Mathematics, MDPI, vol. 9(12), pages 1-20, June.
- Aurélien Alfonsi, 2015. "Affine Diffusions and Related Processes: Simulation, Theory and Applications," Post-Print hal-03127212, HAL.
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- Carmen Ionescu & Radu Constantinescu, 2022. "Solving Nonlinear Second-Order Differential Equations through the Attached Flow Method," Mathematics, MDPI, vol. 10(15), pages 1-14, August.
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Keywords
weak approximations; split-step; Wright–Fisher equation; Jacobi equation;All these keywords.
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