A comparison of biased simulation schemes for stochastic volatility models (Q5190133)
From MaRDI portal
scientific article; zbMATH DE number 5681141
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison of biased simulation schemes for stochastic volatility models |
scientific article; zbMATH DE number 5681141 |
Statements
A comparison of biased simulation schemes for stochastic volatility models (English)
0 references
12 March 2010
0 references
stochastic volatility
0 references
Heston
0 references
square root process
0 references
CEV process
0 references
Euler-Maruyama
0 references
discretization
0 references
strong convergence
0 references
weak convergence
0 references
boundary behaviour
0 references
0 references
0 references
