Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model

DOI10.1007/s11464-018-0705-0zbMath1401.60046OpenAlexW2806373428MaRDI QIDQ1787145

Hui Jiang, Shaochen Wang, Yunshi Gao

Publication date: 4 October 2018

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-018-0705-0

zbMATH Keywords

moderate deviation principleEuler-Maruyama discretizationHull-White stochastic volatility model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Stochastic processes (60G99)

Cites Work

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