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.

ORCID iDs

Deng, Shounian, Fei, Chen, Fei, Weiyin and Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864;
  • 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:11 Nov 2024 12:24
    URI:https://strathprints.strath.ac.uk/id/eprint/69263
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