Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump

DOI10.1016/J.CAM.2018.06.009MaRDI QIDQ724558zbMATH OpenOpenAlexFDO

Authors A. S. Fatemion Aghda, Mahdieh Tahmasebi, S. Mohammad Hosseini

Publication date 26 July 2018

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.03206

zbMATH Keywords

convergencemoment boundednessbalanced methodnon-negativitydelay CIR model with jumpstochastic delay differential equation with jump

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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.

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Cited in

(5)

• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• Strong convergence rate of implicit Euler scheme to a CIR model with delay
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model

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