Highly nonlinear model in finance and convergence of Monte Carlo simulations
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Publication:1018139
DOI10.1016/j.jmaa.2008.12.028zbMath1160.91350MaRDI QIDQ1018139
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
stochastic differential equation; Monte Carlo simulation; convergence in probability; Euler-Maruyama method
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