Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237)
From MaRDI portal
scientific article; zbMATH DE number 6995669
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models |
scientific article; zbMATH DE number 6995669 |
Statements
Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (English)
0 references
19 December 2018
0 references
path-dependent volatility
0 references
running maximum
0 references
Cox-Ingersoll-Ross process
0 references
Euler scheme
0 references
Monte Carlo simulation
0 references
strong convergence order
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
