A comparison of biased simulation schemes for stochastic volatility models

DOI10.1080/14697680802392496zbMath1198.91240OpenAlexW3123725596MaRDI QIDQ5190133

Dick van Dijk, Remmert Koekkoek, Roger Lord

Publication date: 12 March 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22127

zbMATH Keywords

discretizationstrong convergenceweak convergencestochastic volatilityboundary behaviourCEV processsquare root processEuler-MaruyamaHeston

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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