Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates

DOI10.1515/mcma-2022-2111zbMath1492.91392OpenAlexW4220800602MaRDI QIDQ2671516

Jaya P. N. Bishwal

Publication date: 3 June 2022

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2022-2111

zbMATH Keywords

robustnessefficiencyMonte Carlo methodKolmogorov distancediscrete observationsinterest rateItô stochastic differential equationBerry-Esseen boundnon-affine modelsapproximate minimum contrast estimatorsBlack-Karasinski model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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