An Explicit Positivity-Preserving Method for Nonlinear Aït-Sahalia Model Driven by Fractional Brownian Motion
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DOI: 10.3390/sym17101649
Abstract: This paper develops an explicit positivity-preserving method for the nonlinear Aït-Sahalia interest rate model driven by fractional Brownian motion. To overcome the difficulties in obtaining the convergence rate of this positivity-preserving method, the Lamperti transformation… read more here.
Keywords: explicit positivity; positivity preserving; preserving method; fractional brownian ... See more keywords