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

2024/12/23 by Llamazares-Elias, Samir, Tocino, Angel
#65C30 60H10 91G60 #FOS: Mathematics #Numerical Analysis (math.NA)

paper · doi:10.48550/arxiv.2412.17983

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.

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