Fast strong approximation Monte Carlo schemes for stochastic volatility models (Q3437409)
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scientific article; zbMATH DE number 5150702
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| English | Fast strong approximation Monte Carlo schemes for stochastic volatility models |
scientific article; zbMATH DE number 5150702 |
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Fast strong approximation Monte Carlo schemes for stochastic volatility models (English)
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9 May 2007
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stochastic volatility models
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stochastic numerical integration
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strong approximation error
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hyperbolic Ornstein-Uhlenbeck process
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hyperbolic volatility
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0.7750424146652222
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0.7623193264007568
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0.7496947646141052
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0.7494497895240784
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