The weak convergence order of two Euler-type discretization schemes for the log-Heston model (Q6190832)
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scientific article; zbMATH DE number 7800836
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The weak convergence order of two Euler-type discretization schemes for the log-Heston model |
scientific article; zbMATH DE number 7800836 |
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The weak convergence order of two Euler-type discretization schemes for the log-Heston model (English)
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6 February 2024
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Heston model
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CIR process
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discretization schemes for SDEs
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Kolmogorov PDE
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Euler scheme
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non-standard assumptions
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