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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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
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MDPI AG
2021-01-01
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| coleção: | Risks |
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| Acesso em linha: | https://www.mdpi.com/2227-9091/9/1/23 |
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