Chassagneux, Jean-Francois
- An explicit Euler scheme with strong rate of convergence for financial\n SDEs with non-Lipschitz coefficients
2014/05/14 by Jean-François Chassagneux, Chassagneux, Jean-Francois, Antoine Jacquier +3 · 3 citations
Economics, Econometrics and Finance · Social Sciences · #60H10 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Monetary Policy and Economic Impact #Numerical Analysis (math.NA) #Stochastic processes and financial applications