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.
Applebaum, L´ evy Processes and Stochastic Calculus, Cambr idge Univer- sity Press, 2nd Ed., 2009
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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.