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Comptes Rendus de l'Academie des Sciences - Series I: Mathematics
Volumn 326, Issue 12, 1998, Pages 1411-1414
Continuous Euler scheme for killed diffusions and barrier options;Schéma d'Euler continu pour des diffusions tuées et options barrière
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Indexed keywords

EID: 0032092008     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0764-4442(98)80402-3     Document Type: Article
Times cited : (3)
References (4)
  • 1
    • 0030560429 scopus 로고    scopus 로고
    • The law of the Euler scheme for stochastic differential equations: I. Convergence rate of the distribution function
    • [1] Bally V., Talay D., The law of the Euler scheme for stochastic differential equations: I. Convergence rate of the distribution function, Probab. Th. Rel. Fields 104 (1) (1996) 43-60.
    • (1996) Probab. Th. Rel. Fields , vol.104 , Issue.1 , pp. 43-60
    • Bally, V.1    Talay, D.2
  • 2
    • 0002308425 scopus 로고    scopus 로고
    • The law of the Euler scheme for stochastic differential equations: II. Convergence rate of the density
    • [2] Bally V., Talay D., The law of the Euler scheme for stochastic differential equations: II. Convergence rate of the density, Monte-Carlo Methods and Appl. 2 (2) (1996) 93-128.
    • (1996) Monte-Carlo Methods and Appl. , vol.2 , Issue.2 , pp. 93-128
    • Bally, V.1    Talay, D.2
  • 3
    • 0002436805 scopus 로고
    • Calcul stochastique et opérateurs dégénérés du second ordre : Ii. Problème de dirichlet
    • e section) 115 (1991) 81-122.
    • (1991) e Section) , vol.115 , pp. 81-122
    • Cattiaux, P.1
  • 4
    • 0000124397 scopus 로고
    • Expansion of the global error for numerical schemes solving stochastic differential equations
    • [4] Talay D., Tubaro L., Expansion of the global error for numerical schemes solving stochastic differential equations, Stochas. Anal. Appl. 8 (4) (1990) 94-120.
    • (1990) Stochas. Anal. Appl. , vol.8 , Issue.4 , pp. 94-120
    • Talay, D.1    Tubaro, L.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.