Constructing positivity preserving numerical schemes for the two-factor CIR model (Q898655)
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scientific article; zbMATH DE number 6522241
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constructing positivity preserving numerical schemes for the two-factor CIR model |
scientific article; zbMATH DE number 6522241 |
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Constructing positivity preserving numerical schemes for the two-factor CIR model (English)
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18 December 2015
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two-factor CIR model
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explicit numerical scheme
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positivity preservation
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order of convergence
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