Quantiles of the Euler scheme for diffusion processes and financial applications

Mathematical Finance

Volumn 13, Issue 1, 2003, Pages 187-199

  Talay, Denis ^a   Zheng, Ziyu ^a,b  

^a INRIA   (France)

^b UNIVERSITY OF WISCONSIN MILWAUKEE   (United States)

Author keywords

Discretization of stochastic differential equations; Malliavin calculus; Monte Carlo methods in finance

Indexed keywords

EID: 0038714845     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00013     Document Type: Conference Paper

References (15)

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