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

{"title":"局部Lipschitz条件下双因素随机波动模型的强逼近","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":"{\"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}","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

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。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Monte Carlo Methods and Applications STATISTICS & PROBABILITY-

CiteScore

1.20

自引率

22.20%

发文量