An adaptive positive preserving numerical scheme based on splitting method for the solution of the CIR model

Minoo Kamrani; Erika Hausenblas

doi:10.1016/j.matcom.2024.10.021

An adaptive positive preserving numerical scheme based on splitting method for the solution of the CIR model

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	673-689
Number of pages	17
Journal	Mathematics and Computers in Simulation
Volume	229
DOIs	https://doi.org/10.1016/j.matcom.2024.10.021
Publication status	Published - Mar 2025

Bibliographical note

Publisher Copyright:
© 2024 International Association for Mathematics and Computers in Simulation (IMACS)

Keywords

Adaptive scheme
Cox–Ingersoll–Ross model
Implicit Euler scheme
Monte Carlo simulation
Splitting methods

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10.1016/j.matcom.2024.10.021

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title = "An adaptive positive preserving numerical scheme based on splitting method for the solution of the CIR model",

keywords = "Adaptive scheme, Cox–Ingersoll–Ross model, Implicit Euler scheme, Monte Carlo simulation, Splitting methods",

author = "Minoo Kamrani and Erika Hausenblas",

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year = "2025",

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doi = "10.1016/j.matcom.2024.10.021",

language = "English",

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AU - Kamrani, Minoo

AU - Hausenblas, Erika

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KW - Adaptive scheme

KW - Cox–Ingersoll–Ross model

KW - Implicit Euler scheme

KW - Monte Carlo simulation

KW - Splitting methods

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DO - 10.1016/j.matcom.2024.10.021

M3 - Article

AN - SCOPUS:85207921525

SN - 0378-4754

VL - 229

SP - 673

EP - 689

JO - Mathematics and Computers in Simulation

JF - Mathematics and Computers in Simulation

ER -

An adaptive positive preserving numerical scheme based on splitting method for the solution of the CIR model

Bibliographical note

Keywords

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