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"An Explicit Euler Scheme with Strong Rate of Convergence for Financial ..."

Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov (2016)

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DOI: 10.1137/15M1017788

access: closed

type: Journal Article

metadata version: 2020-03-27

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  - journals/siamfm/ChassagneuxJM16
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  - https://dblp.org/rec/journals/siamfm/ChassagneuxJM16
Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov:
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients. SIAM J. Financial Math. 7(1): 993-1021 (2016)

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