An explicit and positivity preserving numerical scheme for the mean reverting CEV model
arXiv:1501.034349 citationsh-index: 11
Originality Synthesis-oriented
AI Analysis
Provides a practical numerical method for financial modeling where positivity is critical, but the result is incremental as it extends existing techniques.
The paper proposes an explicit numerical scheme for the mean reverting CEV model that preserves positivity and achieves mean-square convergence of order a(a-1/2).
In this paper we propose an explicit and positivity preserving scheme for the mean reverting CEV model which converges in the mean square sense with convergence order $a(a-1/2)$.