Constructing positivity preserving numerical schemes for the two-factor CIR model (Q898655)
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scientific article; zbMATH DE number 6522241
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| English | Constructing positivity preserving numerical schemes for the two-factor CIR model |
scientific article; zbMATH DE number 6522241 |
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Constructing positivity preserving numerical schemes for the two-factor CIR model (English)
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18 December 2015
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two-factor CIR model
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explicit numerical scheme
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positivity preservation
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order of convergence
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0.8524681925773621
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0.8117194771766663
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0.801715612411499
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0.8000726103782654
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