The Euler-Maruyama approximation for the absorption time of the CEV diffusion
Probability
2012-03-16 v3 Numerical Analysis
Abstract
A standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coefficients on the boundary, which excludes the possibility of absorption. In this paper we consider the CEV diffusion from the mathematical finance and show how a weakly consistent approximation for the absorption time can be constructed, using the Euler-Maruyama scheme.
Cite
@article{arxiv.1108.0307,
title = {The Euler-Maruyama approximation for the absorption time of the CEV diffusion},
author = {Pavel Chigansky and Fima C. Klebaner},
journal= {arXiv preprint arXiv:1108.0307},
year = {2012}
}