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Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
16 references·1 citing·31 second hop
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
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  • 1990

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Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
341 cited

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  • 2008Adaptive Weak Approximation of Diffusions with Jumps38 cited