Weak approximation of Heston model by discrete random variables (Q2228636)
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scientific article; zbMATH DE number 7313367
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| English | Weak approximation of Heston model by discrete random variables |
scientific article; zbMATH DE number 7313367 |
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Weak approximation of Heston model by discrete random variables (English)
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19 February 2021
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Heston model
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CIR
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weak approximations
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split-step approximations
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option pricing
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0.9404751658439636
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0.8075531125068665
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0.8039351105690002
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0.7988095879554749
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0.7890571355819702
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