Fast strong approximation Monte Carlo schemes for stochastic volatility models

DOI10.1080/14697680600841108zbMath1134.91431OpenAlexW2119734576MaRDI QIDQ3437409

Peter Jäckel, Christian Kahl

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600841108

zbMATH Keywords

stochastic volatility modelsstrong approximation errorhyperbolic Ornstein-Uhlenbeck processhyperbolic volatilitystochastic numerical integration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70)

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Uses Software

• MersenneTwister

Cites Work

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