Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007)
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scientific article; zbMATH DE number 6726961
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model |
scientific article; zbMATH DE number 6726961 |
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Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (English)
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8 June 2017
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stochastic volatility models
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weak convergence rate
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stochastic trapezoidal rule
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exact simulation
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jump-diffusion models
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