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On the construction of boundary preserving numerical schemes

Author

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  • Halidias Nikolaos

    (Department of Mathematics, University of the Aegean, Karlovassi 83200 Samos, Greece)

Abstract

Our aim in this note is to extend the semi-discrete technique by combine it with the split step method. We apply our new method to the Ait-Sahalia model and propose an explicit and positivity preserving numerical scheme.

Suggested Citation

  • Halidias Nikolaos, 2016. "On the construction of boundary preserving numerical schemes," Monte Carlo Methods and Applications, De Gruyter, vol. 22(4), pages 277-289, December.
    • Handle: RePEc:bpj:mcmeap:v:22:y:2016:i:4:p:277-289:n:1
    DOI: 10.1515/mcma-2016-0113
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    References listed on IDEAS

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    1. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
    2. G. N. Milstein & Eckhard Platen & H. Schurz, 1998. "Balanced Implicit Methods for Stiff Stochastic Systems," Published Paper Series 1998-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    3. Nikolaos Halidias & Ioannis Stamatiou, 2015. "Approximating explicitly the mean reverting CEV process," Papers 1502.03018, arXiv.org, revised May 2015.
    4. Kahl Christian & Schurz Henri, 2006. "Balanced Milstein Methods for Ordinary SDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 12(2), pages 143-170, April.
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