Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
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Publication:2199791
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- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
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- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
- The Distribution of Realized Exchange Rate Volatility
- The pricing of options and corporate liabilities
- The truncated Euler-Maruyama method for stochastic differential delay equations
- The truncated Euler-Maruyama method for stochastic differential equations
Cited in
(13)- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
- 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
- An efficient computational scheme to solve a class of fractional stochastic systems with mixed delays
- Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
- On the analysis of Ait-Sahalia-type model for rough volatility modelling
- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
- Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
- Unconditionally positivity-preserving explicit Euler-type schemes for a generalized Aït-Sahalia model
- scientific article; zbMATH DE number 7523981 (Why is no real title available?)
- Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
- Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
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