Constructing positivity preserving numerical schemes for the two-factor CIR model

Abstract

We study the two factor CIR model and using the main idea of two of our previous papers, we propose explicit numerical schemes that preserves positivity and converges strongly in the mean square sense to the true solution. Our results apply for the multi factor and the one factor cases as well. 

Topics

Cite this paper

@article{Halidias2015ConstructingPP, title={Constructing positivity preserving numerical schemes for the two-factor CIR model}, author={Nikolaos Halidias}, journal={Monte Carlo Meth. and Appl.}, year={2015}, volume={21}, pages={313-323} }