Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
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Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A delayed stochastic volatility correction to the constant elasticity of variance model
- Convergence rate of numerical solutions to SFDEs with jumps
- Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
- Delay geometric Brownian motion in financial option valuation
- Mathematical location and land use theory. An introduction.
- Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Option pricing under jump-diffusion processes with regime switching
- Option pricing when underlying stock returns are discontinuous
- Option valuation under a regime-switching constant elasticity of variance process
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Regime switching in foreign exchange rates: Evidence from currency option prices
- Stability of stochastic delay hybrid systems with jumps
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
- Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
- The pricing of options and corporate liabilities
- The truncated EM method for stochastic differential equations with Poisson jumps
- The truncated Euler-Maruyama method for stochastic differential equations
- Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
Cited in
(5)- Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
- Tamed EM method for a delayed Ait-Sahalia type model driven by Poisson jumps
- Numerical solutions of a Markov-switching one-factor volatility model with nonglobally Lipschitz continuous coefficients
- Euler–Maruyama Approximations of a Delayed CIR-Type Interest Rate Model with Non-Lipschitz Diffusion Factor
- Linear short rate model with several delays
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