On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
In: BIT Numerical Mathematics, Jg. 59 (2019-09-01), Heft 3, S. 747-774
Online
academicJournal
Zugriff:
Titel: |
On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
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Autor/in / Beteiligte Person: | Li, Libo ; Taguchi, Dai |
Link: | |
Zeitschrift: | BIT Numerical Mathematics, Jg. 59 (2019-09-01), Heft 3, S. 747-774 |
Veröffentlichung: | 2019 |
Medientyp: | academicJournal |
ISSN: | 0006-3835 (print) ; 1572-9125 (print) |
DOI: | 10.1007/s10543-019-00753-8 |
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