These are the scripts I used in my thesis to test the order of convergence of two numerical schemes I studied, namely:
- the Implicit Euler scheme (A. Alfonsi - 2012)
- the split step scheme (E. Moro, H. Schurz - 2007) Tesing the schemes on the CIR process with multiple randomly selected coefficents, we obtained a strong and weak order of convergence 1.
Details about the results obtained and the algorithms employed are available in my thesis.