The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model
Inspired by the article <i>Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243–1263</i>, we studied the weak error of discretization schemes for the Heston model, which are based on exact simulati...
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| Автори: | , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
MDPI AG
2021-01-01
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| Серія: | Risks |
| Предмети: | |
| Онлайн доступ: | https://www.mdpi.com/2227-9091/9/1/23 |
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