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Constructing positivity preserving numerical schemes for the two-factor CIR model.
- Source :
-
Monte Carlo Methods & Applications . Dec2015, Vol. 21 Issue 4, p313-323. 11p. - Publication Year :
- 2015
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09299629
- Volume :
- 21
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Monte Carlo Methods & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 111555375
- Full Text :
- https://doi.org/10.1515/mcma-2015-0109