"An Explicit Euler Scheme with Strong Rate of Convergence for Financial ..."

Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov (2016)

> Home

Details and statistics

DOI: 10.1137/15M1017788

access: closed

type: Journal Article

metadata version: 2020-03-27

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/siamfm/ChassagneuxJM16
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/siamfm/ChassagneuxJM16
Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov:
An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients. SIAM J. Financial Math. 7(1): 993-1021 (2016)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.