Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
Andrei Cozma and
Christoph Reisinger
Papers from arXiv.org
Abstract:
We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of stochastic differential equations arising in finance. We prove that both implicit and explicit Euler-Maruyama discretizations for the CIR process preserve the exponential integrability of the exact solution for a wide range of parameters, and find lower bounds on the explosion time.
Date: 2015-12
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1601.00919
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