An explicit and positivity preserving numerical scheme for the mean\n reverting CEV model

2015/01/14 by Nikolaos Halidias, Halidias, Nikolaos
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #Differential Equations and Numerical Methods #FOS: Mathematics #Matrix Theory and Algorithms #Numerical Analysis (math.NA) #Numerical methods for differential equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1501.03434

openalex publication_date 2015/01/14 · openalex created_date 2022/10/05 · openalex updated_date 2026/07/28

Abstract

In this paper we propose an explicit and positivity preserving scheme for the\nmean reverting CEV model which converges in the mean square sense with\nconvergence order a(a-1/2).\n

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