- Abstract:
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The purpose of this paper is to measure the strong and weak order of convergence of both the Euler and Milstein schemes using a stochastic volatility model and an N−dimensional Exponential Brownian Motion Process (EBM). An exact solution is normally required to calculate the order of convergence, however there are none available for this volatility process. We propose a method to solve this problem. We also show numerically that when we apply the Milstein scheme to an N−dimensional stochastic...
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- Publication date:
- 2005-01-01
- URN:
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uuid:5adb9d0d-3bfa-4217-9e46-a2c77465074d
- Local pid:
- oai:eprints.maths.ox.ac.uk:582
- Copyright date:
- 2005
Journal article
Measure order of convergence without an exact solution, Euler vs Milstein scheme
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