Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
Author:
Affiliation:
1. Institute for Financial and Actuarial Mathematics, University of Liverpool, Liverpool, UK
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/15326349.2024.2305344
Reference25 articles.
1. Ait-Sahalia Y. Testing continuous-time models of the spot interest rate. Rev. Fin. Stud. 1996 9 385–426.
2. Convergence rate of numerical solutions to SFDEs with jumps
3. Benth, F.E.; Option Theory with Stochastic Analysis: An Introduction to Mathematical Finance; Springer Science and Business Media: Berlin, 2003.
4. The Pricing of Options and Corporate Liabilities
5. Regime switching in foreign exchange rates:
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