An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients-Reference-Cited by-同舟云学术

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An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

Published:2016-01 Issue:1 Volume:7 Page:993-1021
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Chassagneux Jean-François,Jacquier Antoine,Mihaylov Ivo

Funder

Agence Nationale de la Recherche

Engineering and Physical Sciences Research Council

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

http://epubs.siam.org/doi/pdf/10.1137/15M1017788

Reference28 articles.

1. Pricing exotic options using MSL-MC

2. Testing Continuous-Time Models of the Spot Interest Rate

3. On the discretization schemes for the CIR (and Bessel squared) processes

4. Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process

5. Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

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