Mean-reverting schemes for solving the CIR model

被引：0

作者：

Llamazares-Elias, S. ^{[1
]}

Tocino, A. ^{[1
]}

机构：

[1] Univ Salamanca, Dept Math, Pl Merced 1, Salamanca 37008, Spain

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2023年 / 434卷

关键词：

Stochastic differential equations; CIR model; Mean-reverting; Stochastic numerical method; STRONG APPROXIMATION; CONVERGENCE;

D O I：

10.1016/j.cam.2023.115354

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A family of methods for the numerical solution of the CIR model reproducing the mean -reversion property of the exact solution is presented. The convergence of the methods in the strong and weak senses is established. In addition, a method that captures exactly the first and second long term moments of the CIR process is found. & COPY; 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

引用

页数：13

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