Efficient Second-order Weak Scheme for Stochastic Volatility Models (Q5746534)
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scientific article; zbMATH DE number 6259470
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Second-order Weak Scheme for Stochastic Volatility Models |
scientific article; zbMATH DE number 6259470 |
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Efficient Second-order Weak Scheme for Stochastic Volatility Models (English)
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19 February 2014
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discretization schemes
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weak convergence
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Lamperti transform
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stochastic volatility models
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