Weak Error Rates of Numerical Schemes for Rough Volatility (Q6159079)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7691066
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Weak Error Rates of Numerical Schemes for Rough Volatility |
scientific article; zbMATH DE number 7691066 |
Statements
Weak Error Rates of Numerical Schemes for Rough Volatility (English)
0 references
1 June 2023
0 references
rough volatility
0 references
weak convergence rates
0 references
fractional Brownian motion
0 references
numerical schemes
0 references
0 references
0 references
0 references
0 references
0.8666845560073853
0 references
0.8351372480392456
0 references
0.8039916157722473
0 references
0.7840286493301392
0 references
0.7718194723129272
0 references
