首页|Preservation of structural properties of the CIR model by θ-Milstein schemes
Preservation of structural properties of the CIR model by θ-Milstein schemes
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NETL
NSTL
Walter De Gruyter
The ability of theta-Milstein methods with theta >= 1 {\theta\geq 1} to capture the non-negativity and the mean-reversion property of the exact solution of the CIR model is shown. In addition, the order of convergence and the preservation of the long-term variance is studied. These theoretical results are illustrated with numerical examples.
NETL
NSTL
Walter De Gruyter
