An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients (2014)
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/10.48550/arxiv.1405.3561
Publication URI: https://arxiv.org/abs/1405.3561
Type: Preprint