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

Understand

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 are mathematically interesting due to the irregular square root function in the diffusion coefficient.
• In the literature, positive strong convergence rates for numerical approximations of CIR processes have been established in the case of an inaccessible boundary point.
• Since calibrations of the Heston model frequently result in parameters such that the boundary is accessible, we focus on this interesting case.