A comparison of biased simulation schemes for stochastic volatility models (Q5190133): Difference between revisions

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Latest revision as of 12:49, 2 July 2024

scientific article; zbMATH DE number 5681141
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English
A comparison of biased simulation schemes for stochastic volatility models
scientific article; zbMATH DE number 5681141

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    A comparison of biased simulation schemes for stochastic volatility models (English)
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    12 March 2010
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    stochastic volatility
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    Heston
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    square root process
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    CEV process
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    Euler-Maruyama
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    discretization
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    strong convergence
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    weak convergence
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    boundary behaviour
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