Work

Unconditionally positivity-preserving approximations of the Aït-Sahalia type model: Explicit Milstein-type schemes

Year: 2024

Type: article

Source: Numerical Algorithms

DOI: 10.1007/s11075-024-01861-5

Authors: Yingsong Jiang, Ruishu Liu, Xiaojie Wang, Jinghua Zhuo

Institutions: Central South University, University of Warwick

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: National Natural Science Foundation of China

Awards: 局部单调性条件下的随机微分方程数值方法研究, G6849372555, G8996470866

OpenAlex ID: W4393213907

FWCI: 1.882

Cites: 28

Cited by: 6

Related to: 10