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.
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Słomiński, L., Wojciechowski, T.: One-dimensional stochastic differential equations with time dependent reflecting barriers (2004) (submitted)
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Słomiński, L., Wojciechowski, T. (2004). Euler Scheme for One-Dimensional SDEs with Time Dependent Reflecting Barriers. In: Bubak, M., van Albada, G.D., Sloot, P.M.A., Dongarra, J. (eds) Computational Science - ICCS 2004. ICCS 2004. Lecture Notes in Computer Science, vol 3039. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-25944-2_105
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DOI: https://doi.org/10.1007/978-3-540-25944-2_105
Publisher Name: Springer, Berlin, Heidelberg
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