Preservation of structural properties of the CIR model by θ-Milstein schemes
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2024
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866910761256747008 |
|---|---|
| author | Llamazares-Elias, Samir Tocino, Angel |
| author_facet | Llamazares-Elias, Samir Tocino, Angel |
| contents | The ability of $θ$-Milstein methods with $θ\ge 1$ to capture the non-negativity and the mean-reversion property of the exact solution of the CIR model is shown.
In addition, the order of convergence and the preservation of the long-term variance is studied. These theoretical results are illustrated with numerical examples. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_17983 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Preservation of structural properties of the CIR model by θ-Milstein schemes Llamazares-Elias, Samir Tocino, Angel Numerical Analysis 65C30 60H10 91G60 The ability of $θ$-Milstein methods with $θ\ge 1$ to capture the non-negativity and the mean-reversion property of the exact solution of the CIR model is shown. In addition, the order of convergence and the preservation of the long-term variance is studied. These theoretical results are illustrated with numerical examples. |
| title | Preservation of structural properties of the CIR model by θ-Milstein schemes |
| topic | Numerical Analysis 65C30 60H10 91G60 |
| url | https://arxiv.org/abs/2412.17983 |