First and second moment reversion for a discretized square root process with jumps

DOI10.1080/10236190802705719zbMath1188.91241MaRDI QIDQ5305973

Desmond J. Higham, Graeme D. Chalmers

Publication date: 24 March 2010

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236190802705719

zbMATH Keywords

stability; stochastic differential equation; Monte Carlo; variance; interest rate; volatility; implicit; Itô Lemma

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

91G30: Interest rates, asset pricing, etc. (stochastic models)

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Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps, A long term analysis of stochastic theta methods for mean reverting linear process with jumps, Numerical conservation issues for jump Pearson diffusions, 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, Positivity preserving stochastic \(\theta\)-methods for selected SDEs, CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL, Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process

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