Amir Haghighi - Department of Mathematics, Faculty of Science, Razi University, Kermanshah, Iran

In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. In this paper, we propose a positivity preserving drift-implicit stochastic Runge- Kutta type method for strong approximation of Cox–Ingersoll–Ross process in the regime where the process does not touch zero. Simulation results illustrate the theoretical findings.

Stochastic differential equation, Cox-Ingersoll-Ross Process, Runge-Kutta methods, additive noise, Lamperti transformation