Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
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Publication:6596382
DOI10.1080/15326349.2024.2305344zbMath1545.91324MaRDI QIDQ6596382
Publication date: 2 September 2024
Published in: Stochastic Models (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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