A new numerical scheme for the CIR process

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

Monte Carlo Methods and Applications, 2015, vol. 21, issue 3, 245-253

Abstract: In this paper we generalize an explicit numerical scheme for the CIR process that we have proposed before. The advantage of the new proposed scheme is that preserves positivity and is well posed for a (little bit) broader set of parameters among the positivity preserving schemes. The order of convergence is at least logarithmic in general and for a smaller set of parameters is at least 1/4.

Keywords: Explicit numerical scheme; CIR process; positivity preserving; order of convergence (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1515/mcma-2015-0101

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