2 citations · 2 across the 5 of their papers we have counts for
4 papers · 1 filter
On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
Annalena Mickel, Andreas Neuenkirch
We study the Euler scheme for scalar non-autonomous stochastic differential equations, whose diffusion coefficient is not globally Lipschitz but a fractional power of a globally Li…
The order barrier for the -approximation of the log-Heston SDE at a single point
Annalena Mickel, Andreas Neuenkirch
We study the -approximation of the log-Heston SDE at the terminal time point by arbitrary methods that use an equidistant discretization of the driving Brownian motion. We sho…
Sharp -Approximation of the log-Heston SDE by Euler-type methods
Annalena Mickel, Andreas Neuenkirch
We study the -approximation of the log-Heston SDE at equidistant time points by Euler-type methods. We establish the convergence order for arbitrarily small, if…
The weak convergence order of two Euler-type discretization schemes for the log-Heston model
Annalena Mickel, Andreas Neuenkirch
We study the weak convergence order of two Euler-type discretizations of the log-Heston Model where we use symmetrization and absorption, respectively, to prevent the discretizatio…