The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (Q356137)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model |
scientific article; zbMATH DE number 6191547
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model |
scientific article; zbMATH DE number 6191547 |
Statements
The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (English)
0 references
25 July 2013
0 references
Euler
0 references
Maruyama method
0 references
stochastic differential equation
0 references
Brownian motion
0 references
option value
0 references
0 references
0 references
0 references
0 references
0 references
0.7981517314910889
0 references
0.788038969039917
0 references
0.7630246877670288
0 references
0.7562847137451172
0 references
0.7548971772193909
0 references
