کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
8901790 1631947 2018 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
چکیده انگلیسی
In this work, we propose the balanced implicit method (BIM) to approximate the solution of the delay Cox-Ingersoll-Ross (CIR) model with jump which often gives rise to model an asset price and stochastic volatility dependent on past data. We show that this method preserves non-negativity property of the solution of this model with appropriate control functions. We prove the strong convergence and investigate the pth moment boundedness of the solution of BIM. Finally, we illustrate those results in the last section.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 344, 15 December 2018, Pages 676-690
نویسندگان
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