Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
classification
🧮 math.PR
keywords
modelsolutionmethodbalancedconvergencedelayjumpnon-negativity
read the original 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 . 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 $p$th moment boundedness of the solution of BIM. Finally, we illustrate those results in the last section.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.