Efficient Second-order Weak Scheme for Stochastic Volatility Models (Q5746534): Difference between revisions

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Latest revision as of 09:29, 7 July 2024

scientific article; zbMATH DE number 6259470
Language Label Description Also known as
English
Efficient Second-order Weak Scheme for Stochastic Volatility Models
scientific article; zbMATH DE number 6259470

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    Efficient Second-order Weak Scheme for Stochastic Volatility Models (English)
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    19 February 2014
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    discretization schemes
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    weak convergence
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    Lamperti transform
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    stochastic volatility models
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