
提案された明示的なオイラー型スキームは、Ait-Sahaliaモデルの数値近似を実装可能であり、元のモデルの陽性保存を無条件に保持します。


coremsg

ait-sahalia-model-explicit-euler-schemes


Ait-Sahalia Model: Explicit Euler Schemes



Novel explicit Euler-type scheme for Ait-Sahalia model with unconditional positivity preservation and mean-square convergence rate of 0.5.



Unconditionally Positivity-Preserving Euler-Type Schemes for Generalized Ait-Sahalia Model



Developing explicit Milstein-type schemes for Ait-Sahalia type models with positivity preservation.



Ait-Sahalia Type Model Approximations for Mathematical Finance
