شماره ركورد كنفرانس :
4079
عنوان مقاله :
Preserving non-negativity and convergence analysis of the balanced implicit method for the delay-Heston model
پديدآورندگان :
Fatemion Aghda A.S as.fatemion@modares.ac.ir Tarbiat Modares University , Hosseini S. M hossei_m@modares.ac.ir Tarbiat Modares University , Tahmasebi M tahmasebi@modares.ac.ir Tarbiat Modares University
كليدواژه :
delay , Heston model , balanced implicit method (BIM) , convergence , non , negativity
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده فارسي :
In this paper, we propose a new delay-Heston model, in which the delay Cox-Ingersoll-Ross
(CIR) model is used to represent volatility of the Heston model. The delay-Heston model has
non-negative solution. We propose the balanced implicit method (BIM) for this model. We
determine control functions of the BIM such that this method can preserve non-negativity of
true solution of the model. We prove strong convergence of the BIM
