440 citations · 905 across the 22 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
math.NA2012★ 133 cited
A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
M. V. Tretyakov, Z. Zhang
A version of the fundamental mean-square convergence theorem is proved for stochastic differential equations (SDE) which coefficients are allowed to grow polynomially at infinity a…
q-fin.CP2012
Application of simplest random walk algorithms for pricing barrier options
M. Krivko, M. V. Tretyakov
We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm us…