Free Access
Volume 12, April 2008
Page(s) 1 - 11
Published online 13 November 2007
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  2. A. Berkaoui, Euler scheme for solutions of stochastic differential equations. Potugalia Mathematica Journal 61 (2004) 461–478.
  3. M. Bossy and A. Diop, Euler scheme for one dimensional SDEs with a diffusion coefficient function of the form |x|α, a in [ 1/2,1). Annals Appl. Prob. (Submitted).
  4. M. Bossy, E. Gobet and D. Talay, A symmetrized Euler scheme for an efficient approximation of reflected diffusions. J. Appl. Probab. 41 (2004) 877–889. [CrossRef] [MathSciNet]
  5. J. Cox, J.E. Ingersoll and S.A. Ross, A theory of the term structure of the interest rates. Econometrica 53 (1985) 385–407. [CrossRef] [MathSciNet]
  6. G. Deelstra and F. Delbaen, Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Appl. Stochastic Models Data Anal. 14 (1998) 77–84. [CrossRef] [MathSciNet]
  7. O. Faure, Simulation du Mouvement Brownien et des Diffusions. Ph.D. thesis, École nationale des ponts et chaussées (1992).
  8. P.S. Hagan, D. Kumar, A.S. Lesniewski and D.E. Woodward, Managing smile risk. WILMOTT Magazine (September, 2002).
  9. J.C. Hull and A. White, Pricing interest-rate derivative securities. Rev. Finan. Stud. 3 (1990) 573–592. [CrossRef]
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