Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation (Q6075444)
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scientific article; zbMATH DE number 7740581
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation |
scientific article; zbMATH DE number 7740581 |
Statements
Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation (English)
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20 September 2023
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stochastic interest rate model
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delay volatility
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Poisson jumps
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truncated EM scheme
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strong convergence
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Monte Carlo scheme
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