Approximation of Non-Lipschitz SDEs by Picard Iterations
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Publication:4559473
DOI10.1080/1350486X.2018.1507749zbMath1418.91501MaRDI QIDQ4559473
Julien Baptiste, Emmanuel Lépinette, Julien Grépat
Publication date: 3 December 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- The Malliavin Calculus and Related Topics
- A chaos expansion approach under hybrid volatility models
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