An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump

@article{Stamatiou2019AnEP,
  title={An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump},
  author={Ioannis S. Stamatiou},
  journal={J. Comput. Appl. Math.},
  year={2019},
  volume={360},
  pages={78-98}
}
  • I. Stamatiou
  • Published 1 March 2018
  • Mathematics, Computer Science
  • J. Comput. Appl. Math.
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The mean-reverting square root process with jump has been widely used as a model on the financial market. Since the diffusion coefficient in the model does not satisfy the linear growth condition and
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