A transformed jump adapted backward Euler method for jump extended CIR and CEV models
A novel time stepping scheme, called transformed jump adapted backward Euler method, is developed in this paper to simulate a class of jump extended CIR and CEV models. The proposed scheme is able to preserve the positivity of the underlying problems. Furthermore, its strong convergence rate of order one is recovered for the considered models with non Lipschitz diffusion coefficients. Numerical examples are finally reported to confirm our theoretical findings.
Numerical Algorithms