Simulation studies on time discrete diffusion approximations

Horst Liske and Eckhard Platen ()

Mathematics and Computers in Simulation (MATCOM), 1987, vol. 29, issue 3, 253-260

Abstract: The paper presents results of simulation studies carried out with several time discrete simulation algorithms for diffusion processes with regard to the mean square and the mean convergence criterion.

Date: 1987
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:29:y:1987:i:3:p:253-260

DOI: 10.1016/0378-4754(87)90135-2

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