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Showing 1 to 1 of 1 for “"Explicit Euler–Maruyama method"”.
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The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
We demonstrate the effectiveness of an adaptive explicit Euler method for the approximate solution of the Cox-Ingersoll-Ross model. This relies on a class of path-bounded timestepping strategies which work by reducing the stepsize as solutions approach a neighbourhood of zero. The method is hybrid …