An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (2016)

First Author: Chassagneux J
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/15m1017788

Publication URI: http://dx.doi.org/10.1137/15m1017788

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 1