An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients (Q2953948)
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scientific article; zbMATH DE number 6673566
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| English | An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients |
scientific article; zbMATH DE number 6673566 |
Statements
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (English)
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11 January 2017
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stochastic differential equations
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non-Lipschitz coefficients
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explicit Euler-Maruyama scheme
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projection
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CIR model
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Ait-Sahalia model
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multilevel Monte Carlo method
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0.8431362509727478
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0.8395423293113708
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0.8360422849655151
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0.8329738974571228
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