Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition-Reference-Cited by-同舟云学术

Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition

Published:2023-11-11 Issue:0 Volume:0 Page:
ISSN:0929-9629
Container-title:Monte Carlo Methods and Applications
language:en
Short-container-title:

Author:

Coffie Emmanuel¹

Affiliation:

1. Institute for Financial and Actuarial Mathematics , University of Liverpool , Liverpool L69 7ZL , United Kingdom

Abstract

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.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/mcma-2023-2021/pdf

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