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Approximating Explicitly the Mean-Reverting CEV Process
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-11-23
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
We are interested in the numerical solution of mean-reverting CEV processes that appear in financial mathematics models and are described as nonnegative solutions of certain stochastic differential equations with sublinear diffusion coefficients of the form (xt)q, where 1/2 Our goal is to construct explicit numerical schemes that preserve positivity. We prove convergence of the proposed SD scheme with rate depending on the parameter q. Furthermore, we verify our findings through numerical experiments and compare with other positivity preserving schemes. Finally, we show how to treat the two-dimensional stochastic volatility model with instantaneous variance process given by the above mean-reverting CEV process.
American Psychological Association (APA)
Halidias, N.& Stamatiou, I. S.. 2015. Approximating Explicitly the Mean-Reverting CEV Process. Journal of Probability and Statistics،Vol. 2015, no. 2015, pp.1-20.
https://search.emarefa.net/detail/BIM-1069999
Modern Language Association (MLA)
Halidias, N.& Stamatiou, I. S.. Approximating Explicitly the Mean-Reverting CEV Process. Journal of Probability and Statistics No. 2015 (2015), pp.1-20.
https://search.emarefa.net/detail/BIM-1069999
American Medical Association (AMA)
Halidias, N.& Stamatiou, I. S.. Approximating Explicitly the Mean-Reverting CEV Process. Journal of Probability and Statistics. 2015. Vol. 2015, no. 2015, pp.1-20.
https://search.emarefa.net/detail/BIM-1069999
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1069999