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An explicit and positivity preserving numerical scheme for the mean reverting CEV model

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Abstract

In this paper we propose an explicit and positivity preserving scheme for the mean reverting constant elasticity of variance model which converges in the mean square sense with convergence order \(a(a-1/2)\).

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Authors and Affiliations

  1. Department of Mathematics, University of the Aegean, 83200, Karlovassi, Samos, Greece

    Nikolaos Halidias

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  1. Nikolaos Halidias
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Correspondence to Nikolaos Halidias.

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Halidias, N. An explicit and positivity preserving numerical scheme for the mean reverting CEV model. Japan J. Indust. Appl. Math. 32, 545–552 (2015). https://doi.org/10.1007/s13160-015-0183-7

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  • DOI: https://doi.org/10.1007/s13160-015-0183-7

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