Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models

Andrei Cozma, Christoph Reisinger. Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models. SIAM J. Numerical Analysis, 56(6):3430-3458, 2018. [doi]

Abstract

Abstract is missing.