局部Lipschitz条件下双因素随机波动模型的强逼近

IF 0.8 Q3 STATISTICS & PROBABILITY Monte Carlo Methods and Applications Pub Date : 2023-11-11 DOI:10.1515/mcma-2023-2021
Emmanuel Coffie
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引用次数: 0

摘要

摘要建立了具有超线性系数项的双方差驱动利率模型解的理论性质。由于该模型不可解析处理,我们构造了一种可实现的数值逼近方法,并证明了局部Lipschitz条件下的有限时间强收敛理论。最后,通过仿真实例对理论结果进行了验证。
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Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
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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来源期刊
Monte Carlo Methods and Applications
Monte Carlo Methods and Applications STATISTICS & PROBABILITY-
CiteScore
1.20
自引率
22.20%
发文量
31
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