Platen, Eckhard; Shi, Lei - Finance Discipline Group, Business School - 2008
When simulating discrete time approximations of solutions of stochastic differential equations (SDEs), numerical … stability is clearly more important than numerical efficiency or some higher order of convergence. Discrete time approximations …
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Quantitative Finance Research Centre
Research Paper 234 August 2008
On the Numerical Stability of Simulation Methods for …
