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

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

Yang Xu2016

Article2016

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

Yang Xu · Xiaojie Wang

33 citations·0/0 files stored·Numerical Algorithms

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Stochastic processes and financial applications Numerical methods for differential equations Fuzzy Systems and Optimization

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References

2003Financial Modelling with Jump Processes 2010Numerical Solution of Stochastic Differential Equations with Jumps in Finance 2005On the discretization schemes for the CIR (and Bessel squared) processes 1988Jump-Diffusion Processes and the Term Structure of Interest Rates 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models 2005Convergence of Monte Carlo simulations involving the mean-reverting square root process 2011An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process 2014First order strong approximations of scalar SDEs defined in a domain

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2019Convergence and stability of the backward Euler method for jump–diffusion SDEs with super-linearly growing diffusion and jump coefficients

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Year2016

Typearticle

Published2016-06-04

VenueNumerical Algorithms

ISSN-L1017-1398

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11075-016-0137-4

openalex_workW2492225378

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