A second-order weak approximation of Heston model by discrete random variables (Q904337)
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scientific article; zbMATH DE number 6529483
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| English | A second-order weak approximation of Heston model by discrete random variables |
scientific article; zbMATH DE number 6529483 |
Statements
A second-order weak approximation of Heston model by discrete random variables (English)
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13 January 2016
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Heston model
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simulation
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weak approximations
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split-step approximations
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potential approximations
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moment matching
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option pricing
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0.9537136
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0.9184811
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0.89913666
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0.89710057
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0.88533413
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0.8802119
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0.87684584
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0.87239194
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0.87125695
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