Analytical approximations of local-Heston volatility model and error analysis (Q4581293)
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scientific article; zbMATH DE number 6919653
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| English | Analytical approximations of local-Heston volatility model and error analysis |
scientific article; zbMATH DE number 6919653 |
Statements
Analytical approximations of local‐Heston volatility model and error analysis (English)
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16 August 2018
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analytical approximations
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local and stochastic volatilities
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Malliavin calculus
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0.859571635723114
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0.836168110370636
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0.8245921730995178
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0.8245072364807129
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0.8205022811889648
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