Highly nonlinear model in finance and convergence of Monte Carlo simulations

DOI10.1016/j.jmaa.2008.12.028zbMath1160.91350MaRDI QIDQ1018139

Shuenn-Ren Cheng

Publication date: 13 May 2009

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.12.028

zbMATH Keywords

stochastic differential equation; Monte Carlo simulation; convergence in probability; Euler-Maruyama method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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