80 research outputs found
Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
We consider a class of stochastic path-dependent volatility models where the
stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is
multiplied by a (leverage) function of the spot price, its running maximum, and
time. We propose a Monte Carlo simulation scheme which combines a log-Euler
scheme for the spot process with the full truncation Euler scheme or the
backward Euler-Maruyama scheme for the squared stochastic volatility component.
Under some mild regularity assumptions and a condition on the Feller ratio, we
establish the strong convergence with order 1/2 (up to a logarithmic factor) of
the approximation process up to a critical time. The model studied in this
paper contains as special cases Heston-type stochastic-local volatility models,
the state-of-the-art in derivative pricing, and a relatively new class of
path-dependent volatility models. The present paper is the first to prove the
convergence of the popular Euler schemes with a positive rate, which is
moreover consistent with that for Lipschitz coefficients and hence optimal.Comment: 34 pages, 5 figure
Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
We study convergence properties of the full truncation Euler scheme for the
Cox-Ingersoll-Ross process in the regime where the boundary point zero is
inaccessible. Under some conditions on the model parameters (precisely, when
the Feller ratio is greater than three), we establish the strong order 1/2
convergence in of the scheme to the exact solution. This is consistent
with the optimal rate of strong convergence for Euler approximations of
stochastic differential equations with globally Lipschitz coefficients, despite
the fact that the diffusion coefficient in the Cox-Ingersoll-Ross model is not
Lipschitz.Comment: 16 pages, 1 figur
First case of recent retroviral infection after accidental occupational non-medical exposure to contaminated HIV blood in National Institute for Infectious Diseases "Prof. Dr. Matei BalÅŸ" Bucharest, Romania
Parasitic fauna in farmed trouts in Tismana, Romania
Epidemiological study of the general prevalence of parasites in trouts in the two farms from have revealed various aspects depending on the species studied, depending on season, age category (size) but also from a farm to another
- …