Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
复制标题
DOI：
10.1155/jamsa/2006/80967
复制
发表时间：
2006-07
期刊：
影响因子：
--
通讯作者：
X. Mao;A. Truman;C. Yuan
中科院分区：
文献类型：
--
作者：
X. Mao;A. Truman;C. Yuan
Stochastic differential equations (SDEs) under regime-switching have recently been developed to model various financial quantities. In general, SDEs under regime-switching have no explicit solutions, so numerical methods for approximations have become one of the powerful techniques in the valuation of financial quantities. In this paper, we will concentrate on the Euler-Maruyama (EM) scheme for the typical hybrid mean-reverting θ -process. To overcome the mathematical difficulties arising from the regime-switching as well as the non-Lipschitz coefficients, several new techniques have been developed in this paper which should prove to be very useful in the numerical analysis of stochastic systems.
