Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
From MaRDI portal
Publication:1787145
DOI10.1007/s11464-018-0705-0zbMath1401.60046MaRDI QIDQ1787145
Hui Jiang, Shaochen Wang, Yunshi Gao
Publication date: 4 October 2018
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-018-0705-0
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
- Euler scheme and tempered distributions
- On the growth rate of a linear stochastic recursion with Markovian dependence
- Asymptotics for the Euler-discretized Hull-White stochastic volatility model
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
- Moderate deviations for a class of recursions
- Asymptotic behaviors for functionals of random dynamical systems
- IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
- Option pricing in the moderate deviations regime
- Limit theorems for linear spectrum statistics of orthogonal polynomial ensembles and their applications in random matrix theory
- On Asymptotic Normality in Stochastic Approximation
- Expansion of the global error for numerical schemes solving stochastic differential equations