分数跳扩散环境下CIR利率模型的网格划分及收敛性分析

The Discrimination to CIR Interest Rate Model and Its Convergence under the Fractional Jump Diffusion Environment

在分数跳扩散环境下,研究了CIR利率模型的网格划分和差分格式的有界性。此外,利用Gronwall不等式研究了差分格式的收敛性。

This paper study Euler discrimination and the roundedness of the discrimination to the CIR interest rate model under the fractional jump diffusion environment. Besides, we propose to study the convergence of the discrimination using the Gromwell inequality.