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Approximating explicitly the mean reverting CEV process

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  • Nikolaos Halidias
  • Ioannis Stamatiou

Abstract

In this paper we want to exploit further the semi-discrete method appeared in Halidias and Stamatiou (2015). We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics models and are described as non negative solutions of certain stochastic differential equations with sub-linear diffusion coefficients of the form $(x_t)^q,$ where $\frac{1}{2}

Suggested Citation

  • Nikolaos Halidias & Ioannis Stamatiou, 2015. "Approximating explicitly the mean reverting CEV process," Papers 1502.03018, arXiv.org, revised May 2015.
    • Handle: RePEc:arx:papers:1502.03018
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    References listed on IDEAS

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    Cited by:

    1. Tan, Jianguo & Chen, Yang & Men, Weiwei & Guo, Yongfeng, 2021. "Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 182(C), pages 195-210.
    2. Nikolaos Halidias, 2016. "On construction of boundary preserving numerical schemes," Papers 1601.07864, arXiv.org, revised Feb 2016.
    3. 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.
    4. Halidias Nikolaos & Stamatiou Ioannis S., 2022. "A note on the asymptotic stability of the semi-discrete method for stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 28(1), pages 13-25, March.

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