Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation

DOI10.1515/strm-2022-0013zbMath1525.65010arXiv2103.07651MaRDI QIDQ6075444

Emmanuel Coffie

Publication date: 20 September 2023

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.07651

zbMATH Keywords

strong convergenceMonte Carlo schemePoisson jumpsstochastic interest rate modeldelay volatilitytruncated EM scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• A Jump-Diffusion Model for Option Pricing
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• Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
• The truncated EM method for stochastic differential equations with Poisson jumps
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• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• A Delayed Black and Scholes Formula
• Lévy Processes and Stochastic Calculus
• Delay geometric Brownian motion in financial option valuation
• Option pricing when underlying stock returns are discontinuous
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations

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