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arXiv 1405.0702math.NAcs.NA
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关于CIR过程的显式数值方案

On explicit numerical schemes for the CIR process

University of the Aegean(爱琴海大学)

Nikolaos Halidias

AI总结:

本文提出一种改进的显式数值方案,保持正性并适用于更广的参数集,具有至少对数收敛阶,还介绍了基于精确模拟的双因子CIR模型方案。

摘要:

在本文中,我们推广了之前提出的CIR过程的显式数值方案。新方案的优势在于保持正性,并且在更广的参数集上是良好定义的。收敛阶至少为对数级,在较小的参数集上至少为1/4。接下来,我们给出一个基于精确模拟的不同显式数值方案,并利用该思想近似双因子CIR模型。最后,我们基于第二部分的思想,为双因子CIR模型提出第二种显式数值方案。

英文摘要:

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 $1/4$. Next we give a different explicit numerical scheme based on exact simulation and we use this idea to approximate the two factor CIR model. Finally, we give a second explicit numerical scheme for the two factor CIR model based on the idea of the second section.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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