Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
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Publication:6123187
DOI10.1515/mcma-2023-2021OpenAlexW4388563600MaRDI QIDQ6123187
Publication date: 4 March 2024
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2023-2021
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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