An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients (2014)

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/10.48550/arxiv.1405.3561

Publication URI: https://arxiv.org/abs/1405.3561

Type: Preprint