Article2015

Constructing positivity preserving numerical schemes for the two-factor CIR model

16 citations0/0 files storedMonte Carlo Methods and Applications

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Stochastic processes and financial applications Numerical methods for differential equations Fuzzy Systems and Optimization

Abstract

Abstract We study the two-factor CIR model and using the main idea of two of our previous papers, we propose explicit numerical schemes that preserves positivity and converges strongly in the mean square sense to the true solution. Our results apply for the multi-factor and the one-factor cases as well.

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 2016Numerical solution of stochastic differential equations 2003Monte Carlo Methods in Financial Engineering 1971On the uniqueness of solutions of stochastic differential equations 2004Stochastic calculus for finance 2005On the discretization schemes for the CIR (and Bessel squared) processes 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models

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