A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

DOI10.1007/s11075-016-0137-4zbMath1359.65016OpenAlexW2492225378MaRDI QIDQ503350

Xu Yang, Xiao-Jie Wang

Publication date: 12 January 2017

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-016-0137-4

zbMATH Keywords

numerical resultsWiener processPoisson processbackward Euler methodmathematical financenon-Lipschitz coefficientsjump-adapted methodjump-diffusion Itô stochastic differential equationjump-extended CIR and CEV modelsstrong convergence rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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