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 STATISTICS & PROBABILITY-

CiteScore

1.20

自引率

22.20%

发文量