Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
type: Item
instance of: scholarly article
title: Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
author: Yanyan Li
published in: Mathematics and Computers in Simulation
publication date: 2021-03-06T00:00:00Z
Mathematics Subject Classification ID: 45Rxx
Mathematics Subject Classification ID: 65Rxx
Mathematics Subject Classification ID: 60Hxx
Mathematics Subject Classification ID: 65Cxx
zbMATH DE Number: 7318251
zbMATH Keywords: jump-extended CIR model
zbMATH Keywords: balanced implicit method
zbMATH Keywords: positivity preserving
zbMATH Keywords: convergence
MaRDI profile type: Publication
full work available at URL: j.matcom.2020.10.024
OpenAlex ID: W3097826053
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DOI: 10.1016/J.MATCOM.2020.10.024
description: scientific article; zbMATH DE number 7318251