A generalization of the semi discrete scheme applied on the CIR process
نویسنده
چکیده
In this paper we generalize an explicit numerical scheme for the CIR process that we have proposed before. The advantage of this scheme is that preserves positivity as well and is well posed for a broader set of parameters than the existing schemes. The order of convergence is logarithmic.
منابع مشابه
On the order of convergence for the semi discrete method applied on the CIR process
In this paper we show that the order of convergence of the semi discrete numerical scheme that we have proposed before to approximate the CIR process is tending to be one as ∆ → 0.
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