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

A. S. Fatemion Aghdas, Seyed Mohammad Hossein, Mahdieh Tahmasebi

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 ass…