An adaptive positive preserving numerical scheme based on splitting method for the solution of the CIR model
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in: Mathematics and Computers in Simulation, Jahrgang 229, 03.2025, S. 673-689.
Publikationen: Beitrag in Fachzeitschrift › Artikel › Forschung › (peer-reviewed)
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TY - JOUR
T1 - An adaptive positive preserving numerical scheme based on splitting method for the solution of the CIR model
AU - Kamrani, Minoo
AU - Hausenblas, Erika
N1 - Publisher Copyright: © 2024 International Association for Mathematics and Computers in Simulation (IMACS)
PY - 2025/3
Y1 - 2025/3
KW - Adaptive scheme
KW - Cox–Ingersoll–Ross model
KW - Implicit Euler scheme
KW - Monte Carlo simulation
KW - Splitting methods
UR - http://www.scopus.com/inward/record.url?scp=85207921525&partnerID=8YFLogxK
U2 - 10.1016/j.matcom.2024.10.021
DO - 10.1016/j.matcom.2024.10.021
M3 - Article
AN - SCOPUS:85207921525
VL - 229
SP - 673
EP - 689
JO - Mathematics and Computers in Simulation
JF - Mathematics and Computers in Simulation
SN - 0378-4754
ER -
