Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
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Publication:2379076
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Cites work
- A jump-diffusion model for option pricing
- A theory of the term structure of interest rates
- Almost sure exponential stability of neutral stochastic differential difference equations
- Convergence and stability of implicit methods for jump-diffusion systems
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
- scientific article; zbMATH DE number 50111 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- Numerical methods for nonlinear stochastic differential equations with jumps
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- Stochastic calculus for finance. II: Continuous-time models.
- Valuation of contingent-claims characterising particular pension schemes
Cited in
(19)- Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
- Long-term behavior of stochastic interest rate models with jumps and memory
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process
- Measuring impact of random jumps without sample path generation
- Backward simulation methods for pricing American options under the CIR process
- A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
- Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- First and second moment reversion for a discretized square root process with jumps
- Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
- Limit theorems for Cox-Ingersoll-Ross process with externally and self-exciting jumps and application to finance
- Strong error analysis of jump-adapted split-step backward Euler method for nonlinear jump-diffusion problems
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
- A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis
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