Preservation of structural properties of the CIR model by {\theta}-Milstein schemes
| Autor: | Llamazares-Elias, Samir, Tocino, Angel |
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| Rok vydání: | 2024 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | The ability of $\theta$-Milstein methods with $\theta\ge 1$ 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. |
| Databáze: | arXiv |
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