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On construction of boundary preserving numerical schemes

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  • Nikolaos Halidias

Abstract

Our aim in this note is to extend the semi discrete technique by combine it with the split step method. We apply our new method to the Ait-Sahalia model and propose an explicit and positivity preserving numerical scheme.

Suggested Citation

  • Nikolaos Halidias, 2016. "On construction of boundary preserving numerical schemes," Papers 1601.07864, arXiv.org, revised Feb 2016.
    • Handle: RePEc:arx:papers:1601.07864
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    File URL: http://arxiv.org/pdf/1601.07864
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    References listed on IDEAS

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    1. Halidias Nikolaos, 2015. "A new numerical scheme for the CIR process," Monte Carlo Methods and Applications, De Gruyter, vol. 21(3), pages 245-253, September.
    2. G. N. Milstein & Eckhard Platen & H. Schurz, 1998. "Balanced Implicit Methods for Stiff Stochastic Systems," Published Paper Series 1998-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    3. Nikolaos Halidias & Ioannis Stamatiou, 2015. "Approximating explicitly the mean reverting CEV process," Papers 1502.03018, arXiv.org, revised May 2015.
    4. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
    5. Halidias Nikolaos, 2015. "Constructing positivity preserving numerical schemes for the two-factor CIR model," Monte Carlo Methods and Applications, De Gruyter, vol. 21(4), pages 313-323, December.
    6. Kahl Christian & Schurz Henri, 2006. "Balanced Milstein Methods for Ordinary SDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 12(2), pages 143-170, April.
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    Cited by:

    1. Halidias Nikolaos, 2024. "A novel portfolio optimization method and its application to the hedging problem," Monte Carlo Methods and Applications, De Gruyter, vol. 30(3), pages 249-267.

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