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Accessible Unlicensed Requires Authentication Published by De Gruyter April 28, 2015

A new numerical scheme for the CIR process

Nikolaos Halidias

Abstract

In this paper we generalize an explicit numerical scheme for the CIR process that we have proposed before. The advantage of the new proposed scheme is that preserves positivity and is well posed for a (little bit) broader set of parameters among the positivity preserving schemes. The order of convergence is at least logarithmic in general and for a smaller set of parameters is at least 1/4.

MSC: 60H10; 60H35

I would like to thank Professor Arnulf Jentzen for an instructive discussion during the preparation of this paper.

Received: 2015-1-8
Accepted: 2015-4-19
Published Online: 2015-4-28
Published in Print: 2015-9-1

© 2015 by De Gruyter