Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox{Ingersoll{Ross model, is multiplied by a (leverage) function of the spot process, its running maximum, and time. We propose a Monte Carlo simulation scheme which combines...
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| Format: | Journal article |
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Society for Industrial and Applied Mathematics
2018
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