Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8901790 | Journal of Computational and Applied Mathematics | 2018 | 15 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
A.S. Fatemion Aghda, Seyed Mohammad Hosseini, Mahdieh Tahmasebi,