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- W1607267832 abstract "The purpose of this paper is to measure the strong and weak order of convergence of both the Euler and Milstein schemes using a stochas- tic 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 process, there is a need to take into account the correlation between the systems." @default.
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- W1607267832 date "2005-01-01" @default.
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- W1607267832 title "Measure order of convergence without an exact solution, Euler vs Milstein Scheme" @default.
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