An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions

doi:http://dx.doi.org/10.1063/1.3452280

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	An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions
	Deng DING; C. I. CHAO
	2010
Source Publication	Journal of Numerical Mathematics and Stochastics
ISSN	2151-2302
Volume	1 Issue:1 Pages:45-55
Abstract	An efficient numerical scheme, which is based on the splitting-step idea [20], for simulation of mean-reverting square-root diffusions is presented in this paper. We prove positivity preservation for this scheme and an estimate of its local error in the second moment. A series of numerical experiments based on MATLAB programs is given to compare the suggested scheme with the schemes of the balanced implicit method (BIM) and the balanced Milstein method (BMM), which are reported in [15, 16, 19].
Keyword	Mean-reverting Square-root Diffusion Simulation Positivity Preservation Splitting-step Algorithm
DOI	http://dx.doi.org/10.1063/1.3452280
Language	英语
Fulltext Access	View Full-Text via DOI
Citation statistics
Document Type	Journal article
Collection	Faculty of Science and Technology DEPARTMENT OF MATHEMATICS
Corresponding Author	Deng DING
Affiliation	Department of Mathematics Faculty of Science and Technology University of Macau, Macao, China
First Author Affilication	Faculty of Science and Technology
Corresponding Author Affilication	Faculty of Science and Technology
Recommended Citation GB/T 7714	Deng DING,C. I. CHAO. An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions[J]. Journal of Numerical Mathematics and Stochastics,2010,1(1):45-55.
APA	Deng DING,&C. I. CHAO.(2010).An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions.Journal of Numerical Mathematics and Stochastics,1(1),45-55.
MLA	Deng DING,et al."An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions".Journal of Numerical Mathematics and Stochastics 1.1(2010):45-55.

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