On the construction of boundary preserving numerical schemes

Halidias Nikolaos ()
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Halidias Nikolaos: Department of Mathematics, University of the Aegean, Karlovassi 83200 Samos, Greece

Monte Carlo Methods and Applications, 2016, vol. 22, issue 4, 277-289

Abstract: Our aim in this note is to extend the semi-discrete technique by combine it with the split step method. We apply our new method to the Ait-Sahalia model and propose an explicit and positivity preserving numerical scheme.

Keywords: Explicit numerical scheme; Ait-Sahalia model; boundary preserving (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1515/mcma-2016-0113

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