شماره ركورد كنفرانس :
4781
عنوان مقاله :
Numerical solutions of the Cox-Ingersoll-Ross Interest Rate Model
پديدآورندگان :
Haghighi Amir Department of Mathematics, Faculty of Science, Razi University, Kermanshah, Iran.
كليدواژه :
Stochastic differential equation , Cox , Ingersoll , Ross Process , Runge , Kutta methods , additive noise , Lamperti transformation.
عنوان كنفرانس :
يازدهمين كنفرانس بين المللي انجمن ايراني تحقيق در عمليات
چكيده فارسي :
In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. In this paper, we propose a positivity preserving drift-implicit stochastic Runge-Kutta type method for strong approximation of Cox–Ingersoll–Ross process in the regime where the process does not touch zero. Simulation results illustrate the theoretical findings.
