Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay (Q2199791)
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scientific article; zbMATH DE number 7246901
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| English | Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay |
scientific article; zbMATH DE number 7246901 |
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Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay (English)
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14 September 2020
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stochastic interest rate model
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delay volatility
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truncated EM scheme
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strong convergence
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Monte Carlo scheme
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0.8068996071815491
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0.802286684513092
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0.7651696801185608
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0.7567049264907837
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0.7512255311012268
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