An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

DOI10.1137/15M1017788zbMath1355.60072arXiv1405.3561OpenAlexW2148524004MaRDI QIDQ2953948

Jean-François Chassagneux, Ivo Mihaylov, Antoine Jacquier

Publication date: 11 January 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3561

zbMATH Keywords

stochastic differential equationsprojectionCIR modelAit-Sahalia modelmultilevel Monte Carlo methodnon-Lipschitz coefficientsexplicit Euler-Maruyama scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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