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q-fin.CP2012
Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method
Hideyuki Tanaka, Toshihiro Yamada
Motivated by weak convergence results in the paper of Takahashi and Yoshida (2005), we show strong convergence for an accelerated Euler-Maruyama scheme applied to perturbed stochas…
q-fin.CP2012★ 7 cited
A Semi-group Expansion for Pricing Barrier Options
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-D…