Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay

DOI10.1016/J.CAM.2020.113137zbMath1448.62146OpenAlexW3048847157MaRDI QIDQ2199791

Xuerong Mao, Coffie Emmanuel

Publication date: 14 September 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/73420/

zbMATH Keywords

strong convergenceMonte Carlo schemestochastic interest rate modeldelay volatilitytruncated EM scheme

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (10)

An efficient computational scheme to solve a class of fractional stochastic systems with mixed delays ⋮ Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation ⋮ Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition ⋮ Strong convergence rate of implicit Euler scheme to a CIR model with delay ⋮ Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model ⋮ On the analysis of Ait-Sahalia-type model for rough volatility modelling ⋮ Unnamed Item ⋮ Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay ⋮ An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence ⋮ Unconditionally positivity-preserving explicit Euler-type schemes for a generalized Aït-Sahalia model

Cites Work

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