Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation

Deng, Shounian and Fei, Chen and Fei, Weiyin and Mao, Xuerong (2019) Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation. Physica A: Statistical Mechanics and its Applications, 533. 122057. ISSN 0378-4371 (https://doi.org/10.1016/j.physa.2019.122057)

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Abstract

In this paper, we consider a generalized Ait-Sahalia interest rate model with Poisson jumps in finance. The analytical properties including positivity, boundedness and pathwise asymptotic estimations of the solution to this model are investigated. Moreover, we prove that the EulerMaruyama (EM) numerical solution converges to the true solution of the model in probability. Finally, we apply the EM solution to compute some financial quantities. A numerical example is provided to demonstrate the effectiveness of our results.

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• Item metadata

  Item type:	Article
  ID code:	69263
  Dates:	Date Event 1 November 2019 Published 17 July 2019 Published Online 1 July 2019 Accepted
  Subjects:	Science > Mathematics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	09 Aug 2019 11:46
  Last modified:	22 Apr 2024 00:41
  URI:	https://strathprints.strath.ac.uk/id/eprint/69263