Proves that the true solution of a highly nonlinear delayed stochastic interest rate model converges in probability to its truncated Euler-Maruyama approximation as the step size tends to zero.
and Runggaldier, W.J.: Diffusion approximation in past de- pendent models and applications to option pricing
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Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
Proves that the true solution of a highly nonlinear delayed stochastic interest rate model converges in probability to its truncated Euler-Maruyama approximation as the step size tends to zero.