| Autor: |
Zhao, Yuying, Wang, Xiaojie, Wang, Mengchao |
| Rok vydání: |
2020 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
This article aims to reveal the mean-square convergence rate of the backward Euler method (BEM) for a generalized Ait-Sahaliz interest rate model with Poisson jumps. The main difficulty in the analysis is caused by the non-globally Lipschitz drift and diffusion coefficients of the model. We show that the BEM preserves positivity of the original problem. Furthermore, we successfully recover the mean-square convergence rate of order one-half for the BEM. The theoretical findings are accompanied by several numerical examples. |
| Databáze: |
arXiv |
| Externí odkaz: |
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