A comparison of biased simulation schemes for stochastic volatility models (Q5190133)
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scientific article; zbMATH DE number 5681141
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison of biased simulation schemes for stochastic volatility models |
scientific article; zbMATH DE number 5681141 |
Statements
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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