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• W2006367766 abstract "We prove a sharp upper bound for the error $mathbb {E}|g(X)-g(hat{X})|^{p}$ in terms of moments of $X-hat{X}$ , where X and $hat{X}$ are random variables and the function g is a function of bounded variation. We apply the results to the approximation of a solution to a stochastic differential equation at time T by the Euler scheme, and show that the approximation of the payoff of the binary option has asymptotically sharp strong convergence rate 1/2. This has consequences for multilevel Monte Carlo methods." @default.
• W2006367766 created "2016-06-24" @default.
• W2006367766 creator A5056016207 @default.
• W2006367766 date "2009-07-11" @default.
• W2006367766 modified "2023-09-23" @default.
• W2006367766 title "On irregular functionals of SDEs and the Euler scheme" @default.
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• W2006367766 doi "https://doi.org/10.1007/s00780-009-0099-7" @default.
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