The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model

DOI10.1016/j.cam.2022.114208zbMath1492.60173arXiv2002.10206OpenAlexW4214860222MaRDI QIDQ2122043

Heru Maulana, Cónall Kelly, Gabriel J. Lord

Publication date: 5 April 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.10206

zbMATH Keywords

strong convergencepositivityCox-Ingersoll-Ross modeladaptive timesteppingexplicit Euler-Maruyama method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

An adaptive splitting method for the Cox-Ingersoll-Ross process ⋮ High Order Splitting Methods for SDEs Satisfying a Commutativity Condition

Cites Work

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