کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5776632 1632155 2017 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات محاسباتی
پیش نمایش صفحه اول مقاله
Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
چکیده انگلیسی
The delay Cox-Ingersoll-Ross (CIR) model is an important model in the financial markets. It has been proved that the solution of this model is non-negative and its pth moments are bounded. However, there is no explicit solution for this model. So, proposing appropriate numerical method for solving this model which preserves non-negativity and boundedness of the model's solution is very important. In this paper, we concentrate on the balanced implicit method (BIM) for this model and show that with choosing suitable control functions the BIM provides numerical solution that preserves non-negativity of solution of the model. Moreover, we show the pth moment boundedness of the numerical solution of the method and prove the convergence of the proposed numerical method. Finally, we present some numerical examples to confirm the theoretical results, and also application of BIM to compute some financial quantities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Numerical Mathematics - Volume 118, August 2017, Pages 249-265
نویسندگان
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