Non-Negativity Preserving Numerical Algorithms for Problems in Mathematical Finance
نویسندگان
چکیده
منابع مشابه
Non-negativity Preserving Numerical Algorithms for Stochastic Differential Equations
Abstract. Construction of splitting-step methods and properties of related non-negativity and boundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Itôtype are discussed. We present convergence proofs for a newly designed splitting-step algorithm and simulation studies for numerous numerical examples ranging from stochastic dynamics occurring in asset ...
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ژورنال
عنوان ژورنال: Applied Mathematics
سال: 2018
ISSN: 2152-7385,2152-7393
DOI: 10.4236/am.2018.93024