Highly nonlinear model in finance and convergence of Monte Carlo simulations

DOI10.1016/j.jmaa.2008.12.028zbMath1160.91350OpenAlexW2034279560MaRDI QIDQ1018139

Shuenn-Ren Cheng

Publication date: 13 May 2009

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.12.028

zbMATH Keywords

stochastic differential equationMonte Carlo simulationconvergence in probabilityEuler-Maruyama method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (6)

A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver ⋮ Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation ⋮ Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation ⋮ Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model ⋮ Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay ⋮ Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions

Cites Work

• The Pricing of Options and Corporate Liabilities
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• A Theory of the Term Structure of Interest Rates
• Robustness of exponential stability of stochastic differential delay equations
• An equilibrium characterization of the term structure
• Stochastic Differential Equations with Markovian Switching
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