Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model (Q1787145)
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scientific article; zbMATH DE number 6947300
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| English | Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model |
scientific article; zbMATH DE number 6947300 |
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Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model (English)
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4 October 2018
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Euler-Maruyama discretization
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Hull-White stochastic volatility model
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moderate deviation principle
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0.8556221723556519
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0.7848345041275024
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0.7746840119361877
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