Startseite Preservation of structural properties of the CIR model by θ-Milstein schemes
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Preservation of structural properties of the CIR model by θ-Milstein schemes

  • Samir Llamazares-Elias ORCID logo EMAIL logo und Ángel Andrés Tocino ORCID logo
Veröffentlicht/Copyright: 2. April 2025

Abstract

The ability of θ-Milstein methods with θ 1 to capture the non-negativity and the mean-reversion property of the exact solution of the CIR model is shown. In addition, the order of convergence and the preservation of the long-term variance is studied. These theoretical results are illustrated with numerical examples.

MSC 2020: 60J60; 65C20; 65C30

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Received: 2024-10-03
Revised: 2025-03-15
Accepted: 2025-03-17
Published Online: 2025-04-02
Published in Print: 2025-06-01

© 2025 Walter de Gruyter GmbH, Berlin/Boston

Heruntergeladen am 10.9.2025 von https://www.degruyterbrill.com/document/doi/10.1515/mcma-2025-2009/pdf
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