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

  • Nikolaos HalidiasEmail author
Original Paper Area 4


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 \(a(a-1/2)\).


Explicit numerical scheme CEV process positivity preserving  Order of convergence 

Mathematics Subject Classification

60H10 60H35 


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Copyright information

© The JJIAM Publishing Committee and Springer Japan 2015

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of the AegeanKarlovassiGreece

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