Kernel-based collocation methods for Heath-Jarrow-Morton models with Musiela parametrization

Yuki Kinoshita and Yumiharu Nakano

Papers from arXiv.org

Abstract: We propose kernel-based collocation methods for numerical solutions to Heath-Jarrow-Morton models with Musiela parametrization. The methods can be seen as the Euler-Maruyama approximation of some finite dimensional stochastic differential equations, and allow us to compute the derivative prices by the usual Monte Carlo methods. We derive a bound on the rate of convergence under some decay condition on the inverse of the interpolation matrix and some regularity conditions on the volatility functionals.

Date: 2018-09, Revised 2020-09
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1809.05643 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1809.05643

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().