An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence (Q6649258)

scientific article; zbMATH DE number 7954690

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English	An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence	scientific article; zbMATH DE number 7954690

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instance of

scholarly article

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title

An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence (English)

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Communications in Nonlinear Science and Numerical Simulation

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publication date

5 December 2024

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zbMATH Keywords

Heston 3/2-model

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positivity-preserving

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explicit schemes

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strong convergence rate

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An Introduction to Financial Option Valuation

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Efficient Monte Carlo simulation of security prices

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Multilevel Monte Carlo Path Simulation

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Q3504233

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

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Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations

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The truncated Euler-Maruyama method for stochastic differential equations

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Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift

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Adaptive Multilevel Monte Carlo Simulation

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Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling

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Adaptive time-stepping strategies for nonlinear stochastic systems

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Q3764976

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Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance

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First order strong approximations of scalar SDEs defined in a domain

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High order discretization schemes for the CIR process: Application to affine term structure and Heston models

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Structure preserving stochastic integration schemes in interest rate derivative modeling

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Positivity preserving truncated scheme for the stochastic Lotka-Volterra model with small moment convergence

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First order strong convergence of an explicit scheme for the stochastic SIS epidemic model

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An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

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Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay

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Positivity-preserving symplectic methods for the stochastic Lotka-Volterra predator-prey model

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An unconditional boundary and dynamics preserving scheme for the stochastic epidemic model

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Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions

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A positivity preserving Lamperti transformed Euler-Maruyama method for solving the stochastic Lotka-Volterra competition model

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A higher order positivity preserving scheme for the strong approximations of a stochastic epidemic model

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Positivity preserving truncated Euler-Maruyama method for stochastic Lotka-Volterra competition model

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Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

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Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients

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First order strong convergence of positivity preserving logarithmic Euler-Maruyama method for the stochastic SIS epidemic model

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Numerical analysis of split-step \(\theta\) methods with truncated Wiener process for a stochastic SIS epidemic model

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Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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A positivity preserving Milstein-type method for stochastic differential equations with positive solutions

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

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Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients

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Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

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Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

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Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition

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Identifiers

DOI

10.1016/j.cnsns.2024.108372

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6649258