Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
DOI10.1016/J.CAM.2020.113137zbMATH Open1448.62146OpenAlexW3048847157MaRDI QIDQ2199791FDOQ2199791
Authors: Coffie Emmanuel, Xuerong Mao 
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/
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strong convergencestochastic interest rate modelMonte Carlo schemedelay volatilitytruncated EM scheme
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)
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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
- Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
- An efficient computational scheme to solve a class of fractional stochastic systems with mixed delays
- 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
- Title not available (Why is that?)
- 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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