A positivity-preserving projection Euler scheme for α-stable driven linear volatility models converges with strong order 1/α in L^q for q < α.
Bergomi, Stochastic Volatility Modeling, CRC press, 2015
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Explicit positivity preserving numerical method for linear stochastic volatility models driven by $\alpha$-stable process
A positivity-preserving projection Euler scheme for α-stable driven linear volatility models converges with strong order 1/α in L^q for q < α.