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

Halidias Nikolaos ()
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Halidias Nikolaos: Department of Mathematics, University of the Aegean, Karlovassi, Samos, Greece

Monte Carlo Methods and Applications, 2015, vol. 21, issue 4, 313-323

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.

Keywords: Explicit numerical scheme; CIR process; positivity preserving; order of convergence; two-factor CIR model. (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1515/mcma-2015-0109

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