Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition (Q6123187): Difference between revisions

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+The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+The Pricing of Options and Corporate Liabilities
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+Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
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+The truncated Euler-Maruyama method for stochastic differential equations
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+Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
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+A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
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+American option pricing under the double Heston model based on asymptotic expansion
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