Euler-Maruyama Approximation for Mean-Reverting Regime Switching CEV Process

被引：0
作者：
Xu, Ruxing [1 ]
Wu, Dan [1 ]
机构：
[1] China Jiliang Univ, Dept Math, Hangzhou, Zhejiang, Peoples R China
来源：
PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON APPLIED MATHEMATICS, SIMULATION AND MODELLING | 2016年 / 41卷
基金：
中国国家自然科学基金;
关键词：
CEV process; mean-reverting; regime switching; Euler-Maruyama; Lipschitz condition; OPTIONS;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The mean-reverting constant elasticity of variance (CEV) process with regime switching is one of the most successful continuous-time models of the short term rate, volatility, and other financial quantities. However, most SDEs with Markovian switching do not have explicit solutions. This paper obtains the Euler-Maruyama approximate solution for mean-reverting Regime Switching CEV processes and provides a detailed proof of the convergence of the EM approximate solution to the exact solution.
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页码：88 / 92
页数：5
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