Bibliographic Details
| Title: |
Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition. |
| Authors: |
Coffie, Emmanuel1 (AUTHOR) emmanuel.coffie@liverpool.ac.uk |
| Superior Title: |
Monte Carlo Methods & Applications. Mar2024, Vol. 30 Issue 1, p55-72. 18p. |
| Subject Terms: |
*STOCHASTIC models, *STOCHASTIC approximation, *INTEREST rates, *MONTE Carlo method |
| 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. [ABSTRACT FROM AUTHOR] |
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| Database: |
Academic Search Premier |
