{"title":"Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition","authors":"Emmanuel Coffie","doi":"10.1515/mcma-2023-2021","DOIUrl":null,"url":null,"abstract":"Abstract We establish theoretical properties of the solution to a two-variance-driven interest rate model with super-linear coefficient terms. Since this model is not tractable analytically, we construct an implementable numerical method to approximate it and prove the finite-time strong convergence theory under the local Lipschitz condition. Finally, we provide simulation examples to demonstrate the theoretical results.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"3 1","pages":"0"},"PeriodicalIF":0.8000,"publicationDate":"2023-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Monte Carlo Methods and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/mcma-2023-2021","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract We establish theoretical properties of the solution to a two-variance-driven interest rate model with super-linear coefficient terms. Since this model is not tractable analytically, we construct an implementable numerical method to approximate it and prove the finite-time strong convergence theory under the local Lipschitz condition. Finally, we provide simulation examples to demonstrate the theoretical results.
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