Pages that link to "Item:Q2235889"
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The following pages link to Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889):
Displaying 4 items.
- A second-order weak approximation of Heston model by discrete random variables (Q904337) (← links)
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988) (← links)
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
- Multilevel Monte Carlo using approximate distributions of the CIR process (Q6157841) (← links)