Constructing positivity preserving numerical schemes for the two-factor CIR model

DOI10.1515/MCMA-2015-0109zbMATH Open1329.60236OpenAlexW2299375517MaRDI QIDQ898655FDOQ898655

Authors: Nikolaos Halidias 

Publication date: 18 December 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2015-0109

Recommendations

• A new numerical scheme for the CIR process
• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Mean-reverting schemes for solving the CIR model
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case

zbMATH Keywords

order of convergenceexplicit numerical schemepositivity preservationtwo-factor CIR 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)

Cited In (15)

• A new convergence and positivity analysis of balanced Euler method for stochastic age‐dependent population equations
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• A note on the asymptotic stability of the semi-discrete method for stochastic differential equations
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps
• Mean-reverting schemes for solving the CIR model
• Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations
• The semi-discrete method for the approximation of the solution of stochastic differential equations
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
• On the construction of boundary preserving numerical schemes
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model
• A new numerical scheme for the CIR process
• Boundary-preserving Lamperti-splitting schemes for some stochastic differential equations
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• Study on split-step Rosenbrock type method for stiff stochastic differential systems

This page was built for publication: Constructing positivity preserving numerical schemes for the two-factor CIR model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q898655)