Approximating explicitly the mean reverting CEV process

Nikolaos Halidias and Ioannis Stamatiou

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Abstract: In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics models and are described as non negative solutions of certain stochastic differential equations with sub-linear diffusion coefficients of the form $(x_t)^q,$ where $\frac{1}{2}

Date: 2015-02, Revised 2015-05
New Economics Papers: this item is included in nep-ets
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