In this paper, we extend to CKLS and CEV processes a known result on weak approximation of CIR processes by discrete random variables. Namely, for CKLS and CEV processes, we construct first-order split-step weak approximations that use generation of two-valued random variables at each discretization step. The accuracy of constructed approximations is illustrated by several simulation examples.

中文翻译：

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通过离散随机变量对 CKLS 和 CEV 过程的弱逼近

在本文中，我们将已知的结果扩展到 CKLS 和 CEV 过程，该结果是通过离散随机变量对 CIR 过程进行弱逼近的。即，对于 CKLS 和 CEV 过程，我们构建一阶分裂步弱近似，在每个离散化步骤中使用二值随机变量的生成。几个模拟示例说明了构造近似值的准确性。