Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889)
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scientific article; zbMATH DE number 7412952
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| English | Higher-order weak schemes for the Heston stochastic volatility model by extrapolation |
scientific article; zbMATH DE number 7412952 |
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Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (English)
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22 October 2021
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Heston model
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weak order
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extrapolation
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trapezoidal rule
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exact simulation
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0.8309456706047058
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0.8160737156867981
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0.7999900579452515
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0.7964089512825012
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0.7811139822006226
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