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A new numerical scheme for the CIR process

Monte Carlo Methods and Applications, 2015
Abstract In this paper we generalize an explicit numerical scheme for the CIR process that we have proposed before. The advantage of the new proposed scheme is that preserves positivity and is well posed for a (little bit) broader set of parameters among the positivity preserving schemes.
Nikolaos Halidias
exaly   +3 more sources

Combined Numerical Schemes

Computational Mathematics and Mathematical Physics, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bragin, M. D.   +5 more
openaire   +1 more source

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