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Euler scheme for one-dimensional SDEs with time dependent reflecting barriers

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (2004) 3039 811-818
DOI: 10.1007/978-3-540-25944-2_105
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Abstract

We give the rate of mean-square convergence for the Euler scheme for one-dimensional stochastic differential equations with time dependent reflecting barriers. Applications to stock prices models with natural boundaries of Bollinger bands type are considered. © Springer-Verlag Berlin Heidelberg 2004.

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Slomiński, L., & Wojciechowski, T. (2004). Euler scheme for one-dimensional SDEs with time dependent reflecting barriers. Lecture Notes in Computer Science (Including Subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 3039, 811–818. https://doi.org/10.1007/978-3-540-25944-2_105

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