Approximating explicitly the mean reverting CEV process

2015/02/10 by Halidias, Nikolaos, Stamatiou, Ioannis
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA)

paper · doi:10.48550/arxiv.1502.03018

Abstract

In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics models and are described as non negative solutions of certain stochastic differential equations with sub-linear diffusion coefficients of the form (x_t)^q, where (1)/(2)

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