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arxiv: 1712.03206 · v1 · pith:4VZPQEBBnew · submitted 2017-12-08 · 🧮 math.PR

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

classification 🧮 math.PR
keywords modelsolutionmethodbalancedconvergencedelayjumpnon-negativity
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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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