شماره ركورد كنفرانس :
3503
عنوان مقاله :
Preserving non-negativity and convergence analysis of the balanced implicit method for the delay-Heston model
Author/Authors :
A.S. Fatemion Aghda Tarbiat Modares University , S. M. Hosseini Tarbiat Modares University , M. Tahmasebi Tarbiat Modares University
كليدواژه :
delay-Heston model , non-negativity , convergence , (balanced implicit method (BIM
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده لاتين :
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.
