Euler-Maruyama Approximation for Mean-Reverting Regime Switching CEV Process
- 10.2991/amsm-16.2016.21How to use a DOI?
- CEV process; mean-reverting; regime switching; Euler-Maruyama; Lipschitz condition
The mean-reverting constant elasticity of variance (CEV) process with regime switching is one of the most successful continuous-time models of the short term rate, volatility, and other financial quantities. However, most SDEs with Markovian switching do not have explicit solutions. This paper obtains the Euler-Maruyama approximate solution for mean-reverting Regime Switching CEV processes and provides a detailed proof of the convergence of the EM approximate solution to the exact solution.
- © 2016, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Ruxing Xu AU - Dan Wu PY - 2016/05 DA - 2016/05 TI - Euler-Maruyama Approximation for Mean-Reverting Regime Switching CEV Process BT - Proceedings of the 2016 International Conference on Applied Mathematics, Simulation and Modelling PB - Atlantis Press SP - 88 EP - 92 SN - 2352-538X UR - https://doi.org/10.2991/amsm-16.2016.21 DO - 10.2991/amsm-16.2016.21 ID - Xu2016/05 ER -