Explicit positivity preserving numerical method for linear stochastic volatility models driven by $\alpha$-stable process
Probability
2025-02-04 v1
Abstract
In this paper, we introduce a linear stochastic volatility model driven by -stable processes, which admits a unique positive solution. To preserve positivity, we modify the classical forward Euler-Maruyama scheme and analyze its numerical properties. The scheme achieves a strong convergence order of . Numerical simulations are presented at the end to verify theoretical results.
Keywords
Cite
@article{arxiv.2502.00788,
title = {Explicit positivity preserving numerical method for linear stochastic volatility models driven by $\alpha$-stable process},
author = {Xiaotong Li and Wei Liu and Xuerong Mao and Hongjiong Tian and Yue Wu},
journal= {arXiv preprint arXiv:2502.00788},
year = {2025}
}