Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation

@article{Deng2019GeneralizedAI,
  title={Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation},
  author={Shounian Deng and Chen Fei and Weiyin Fei and Xuerong Mao},
  journal={Physica A: Statistical Mechanics and its Applications},
  year={2019}
}
Abstract In this paper, we consider a generalized Ait-Sahalia interest rate model with Poisson jumps in finance. The analytical properties including positivity, boundedness and pathwise asymptotic estimations of the solution to this model are investigated. Moreover, we prove that the Euler–Maruyama (EM) numerical solution converges to the true solution of the model in probability. Finally, we apply the EM solution to compute some financial quantities. A numerical example is provided to… Expand
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