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On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
Work
Year: 2019
Type: article
Source: BIT Numerical Mathematics
Authors Libo Li, Dai Taguchi
Institutions UNSW Sydney, Osaka University
Cites: 29
Cited by: 11
Related to: 10
FWCI: 1.829
Citation percentile (by year/subfield): 93.42
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Sustainable Development Goal Affordable and clean energy
Open Access status: closed
Funders University of New South Wales, Japan Society for the Promotion of Science
Grant IDS Faculty Research Grant, 17H06833