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

DOI10.1007/S13160-015-0183-7MaRDI QIDQ495866zbMATH OpenOpenAlexFDO

Authors 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

explicit numerical schememean reverting CEV modelorder of convergencepositivity preservationstochastic differential equation

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)

Abstract: In this paper we propose an explicit and positivity preserving scheme for the mean reverting CEV model which converges in the mean square sense with convergence order $a(a-1/2)$.

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Cites work

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• scientific article; zbMATH DE number 5354344 (Why is no real title available?)
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Cited in

(11)

• Approximating explicitly the mean-reverting CEV process
• The semi-discrete method for the approximation of the solution of stochastic differential equations
• 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
• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• On the construction of boundary preserving numerical schemes
• A new numerical scheme for the CIR process
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
• The Euler-Maruyama approximations for the CEV model
• Constructing positivity preserving numerical schemes for the two-factor CIR model

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