Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

BIT Numerical Mathematics

Volumn 51, Issue 2, 2011, Pages 405-425

  Szpruch, Lukasz ^a,b   Mao, Xuerong ^a   Higham, Desmond J ^a   Pan, Jiazhu ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Implicit; Interest rate; Ito; Model calibration; Moment bound; Monte Carlo

Indexed keywords

EID: 79957933928     PISSN: 00063835     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10543-010-0288-y     Document Type: Article

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