An explicit and positivity preserving numerical scheme for the mean reverting CEV model
DOI10.1007/s13160-015-0183-7zbMath1323.60087arXiv1501.03434OpenAlexW1788662616MaRDI QIDQ495866
Publication date: 15 September 2015
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.03434
stochastic differential equationorder of convergencepositivity preservationexplicit numerical schememean reverting CEV model
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (7)
Cites Work
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