Discretising the Heston model: an analysis of the weak convergence rate (Q4683814)
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scientific article; zbMATH DE number 6943830
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discretising the Heston model: an analysis of the weak convergence rate |
scientific article; zbMATH DE number 6943830 |
Statements
Discretising the Heston model: an analysis of the weak convergence rate (English)
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26 September 2018
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Heston model
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discretisation schemes for SDEs
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Kolmogorov PDE
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Malliavin calculus
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