Measure order of convergence without an exact solution, Euler vs Milstein scheme
The purpose of this paper is to measure the strong and weak order of convergence of both the Euler and Milstein schemes using a stochastic volatility model and an N−dimensional Exponential Brownian Motion Process (EBM). An exact solution is normally required to calculate the order of convergence, ho...
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| Format: | Journal article |
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2005
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