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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Articles in the same Issue
- Frontmatter
- Option pricing: Examples and open problems
- A wavelet-based method in aggregated functional data analysis
- Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary
- On the estimation of periodic signals in the diffusion process using a high-frequency scheme
- Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
- Random walk on spheres method for solving anisotropic transient diffusion problems and flux calculations
- Asymmetric kernel method in the study of strong stability of the PH/M/1 queuing system
Articles in the same Issue
- Frontmatter
- Option pricing: Examples and open problems
- A wavelet-based method in aggregated functional data analysis
- Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary
- On the estimation of periodic signals in the diffusion process using a high-frequency scheme
- Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
- Random walk on spheres method for solving anisotropic transient diffusion problems and flux calculations
- Asymmetric kernel method in the study of strong stability of the PH/M/1 queuing system