An explicit and positivity preserving numerical scheme for the mean reverting CEV model

DOI10.1007/s13160-015-0183-7zbMath1323.60087arXiv1501.03434OpenAlexW1788662616MaRDI QIDQ495866

Nikolaos Halidias

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

zbMATH Keywords

stochastic differential equationorder of convergencepositivity preservationexplicit numerical schememean reverting CEV model

Mathematics Subject Classification ID

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)

Approximating explicitly the mean-reverting CEV process ⋮ On the construction of boundary preserving numerical schemes ⋮ Construction of positivity preserving numerical method for jump-diffusion option pricing models ⋮ The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models ⋮ Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model ⋮ Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps

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• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

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