An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
type: Item
instance of: scholarly article
title: An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
author: Xiao-Juan Wu
author: Siqing Gan
published in: Communications in Nonlinear Science and Numerical Simulation
publication date: 2024-12-05T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 7954690
zbMATH Keywords: Heston 3/2-model
zbMATH Keywords: positivity-preserving
zbMATH Keywords: explicit schemes
zbMATH Keywords: strong convergence rate
MaRDI profile type: MaRDI publication profile
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DOI: 10.1016/J.CNSNS.2024.108372
description: scientific article; zbMATH DE number 7954690