Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition (Q6123187)
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scientific article; zbMATH DE number 7812416
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition |
scientific article; zbMATH DE number 7812416 |
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Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition (English)
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4 March 2024
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two-factor stochastic volatility model
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truncated EM method
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strong convergence
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Monte Carlo method
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