An explicit and positivity preserving numerical scheme for the mean reverting CEV model (Q495866)
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scientific article
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| English | An explicit and positivity preserving numerical scheme for the mean reverting CEV model |
scientific article |
Statements
An explicit and positivity preserving numerical scheme for the mean reverting CEV model (English)
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15 September 2015
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mean reverting CEV model
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stochastic differential equation
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explicit numerical scheme
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positivity preservation
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order of convergence
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0.8967946767807007
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0.8280781507492065
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0.8000726103782654
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0.7983340620994568
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