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

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)

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Cited in

(15)

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

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