On generalized bounded variation and approximation of SDEs

MaRDI QIDQ3651075zbMATH OpenFDO

Authors Rainer Avikainen

Publication date 8 December 2009

Full work available at URL http://www.math.jyu.fi/research/reports/rep121.pdf

zbMATH Keywords

discretization of backward stochastic differential equationsmultilevel Monte Carlo methodoption pricing

Mathematics Subject Classification ID

Rate of convergence, degree of approximation (41A25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20)

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(3)

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• On irregular functionals of SDEs and the Euler scheme

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