Approximation of Non-Lipschitz SDEs by Picard Iterations.

In this article, we propose an approximation method based on Picard iterations deduced from the Doléans-Dade exponential formula. Our method allows to approximate trajectories of Markov processes in a large class, e.g., solutions to non-Lipchitz stochastic differential equation. An application to the pricing of Asian-style contingent claims in the constant elasticity of variance model is presented and compared to other methods of the literature. [ABSTRACT FROM AUTHOR]