Approximating stochastic volatility by recombinant trees

DOI10.1214/13-AAP977zbMath1329.60248arXiv1205.3555WikidataQ57635864 ScholiaQ57635864MaRDI QIDQ744390

Erdinç Akyıldırım, Yan Dolinsky, Halil Mete Soner

Publication date: 25 September 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.3555

zbMATH Keywords

weak convergence; stochastic volatility; Heston model; recombinant trees

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60F05: Central limit and other weak theorems

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60J60: Diffusion processes

91G80: Financial applications of other theories

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