Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model

2021 ◽  
Vol 182 ◽  
pp. 195-210
Author(s):  
Jianguo Tan ◽  
Yang Chen ◽  
Weiwei Men ◽  
Yongfeng Guo
Author(s):  
Zhongyuan Feng ◽  
Ninshu Ma ◽  
Wangnan Li ◽  
Kunio Narasaki ◽  
Fenggui Lu

A Correction to this paper has been published: https://doi.org/10.1007/s00170-020-06437-w


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