Fast strong approximation Monte Carlo schemes for stochastic volatility models
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Publication:3437409
DOI10.1080/14697680600841108zbMath1134.91431OpenAlexW2119734576MaRDI QIDQ3437409
Publication date: 9 May 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600841108
stochastic volatility modelsstrong approximation errorhyperbolic Ornstein-Uhlenbeck processhyperbolic volatilitystochastic numerical integration
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Cites Work
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