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Constructing positivity preserving numerical schemes for the two-factor CIR model
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Nikolaos Halidias
Published/Copyright:
October 30, 2015
Abstract
We study the two-factor CIR model and using the main idea of two of our previous papers, we propose explicit numerical schemes that preserves positivity and converges strongly in the mean square sense to the true solution. Our results apply for the multi-factor and the one-factor cases as well.
Keywords: Explicit numerical scheme; CIR process; positivity
preserving; order of convergence; two-factor CIR model.
Received: 2015-5-15
Accepted: 2015-10-20
Published Online: 2015-10-30
Published in Print: 2015-12-1
© 2015 by De Gruyter
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Articles in the same Issue
- Frontmatter
- The parallel replica method for computing equilibrium averages of Markov chains
- Mathematical verification of the Monte Carlo maximum cross-section technique
- Infinite-dimensional Monte-Carlo integration
- Widening and clustering techniques allowing the use of monotone CFTP algorithm
- Constructing positivity preserving numerical schemes for the two-factor CIR model
- Simulation of random variates with the Morgenstern distribution
Keywords for this article
Explicit numerical scheme;
CIR process;
positivity
preserving;
order of convergence;
two-factor CIR model.
Articles in the same Issue
- Frontmatter
- The parallel replica method for computing equilibrium averages of Markov chains
- Mathematical verification of the Monte Carlo maximum cross-section technique
- Infinite-dimensional Monte-Carlo integration
- Widening and clustering techniques allowing the use of monotone CFTP algorithm
- Constructing positivity preserving numerical schemes for the two-factor CIR model
- Simulation of random variates with the Morgenstern distribution
