Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model

Jianguo Tan, Yang Chen, Weiwei Men, Yongfeng Guo. Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model. Mathematics and Computers in Simulation, 182:195-210, 2021. [doi]

Abstract

Abstract is missing.