Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model (Q1787145): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11464-018-0705-0
+Normal rank
@@ Property / OpenAlex ID @@
+W2806373428
@@ Property / OpenAlex ID: W2806373428 / rank @@
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+Q3134548
@@ Property / cites work: Q3134548 / rank @@
+Normal rank
@@ Property / cites work @@
+On Asymptotic Normality in Stochastic Approximation
+Normal rank
@@ Property / cites work @@
+Option pricing in the moderate deviations regime
@@ Property / cites work: Option pricing in the moderate deviations regime / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic behaviors for functionals of random dynamical systems
+Normal rank
@@ Property / cites work @@
+IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
@@ Property / cites work: IMPLIED VOLATILITY IN THE HULL-WHITE MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Euler scheme and tempered distributions
@@ Property / cites work: Euler scheme and tempered distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3374309
@@ Property / cites work: Q3374309 / rank @@
+Normal rank
@@ Property / cites work @@
+Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for linear spectrum statistics of orthogonal polynomial ensembles and their applications in random matrix theory
+Normal rank
@@ Property / cites work @@
+On the growth rate of a linear stochastic recursion with Markovian dependence
+Normal rank
@@ Property / cites work @@
+Asymptotics for the Euler-discretized Hull-White stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q3341599
@@ Property / cites work: Q3341599 / rank @@
+Normal rank
@@ Property / cites work @@
+Moderate deviations for a class of recursions
@@ Property / cites work: Moderate deviations for a class of recursions / rank @@
+Normal rank
@@ Property / cites work @@
+Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1787145