Simulation of Error Bounds
Zenodo10849499MaRDI QIDQ6483037FDOQ6483037
Software published at Zenodo repository.
Peter Friz, Thomas Wagenhofer, William Salkeld
Publication date: 3 December 2022
Copyright license: Creative Commons Attribution 4.0 International
Community: MATH+
Internal Project ID: AA4-2
Companion code for article "Weak error estimates for rough volatility models". The first author acknowledges support from the German science foundation (DFG) viathe cluster of excellence MATH+, as PI of project AA4-2. The second author was supported by MATH+ projectAA4-2, while this project was initiated, and then by the US Office of Naval Research under the Vannevar BushFaculty Fellowship N0014-21-1-2887. The third author was supported by the German science foundation (DFG)via MATH+, as PhD student in the Berlin Mathematical School (BMS).
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