The Hybrid-Exponential Scheme for Stochastic Volterra Equations-Reference-Cited by-同舟云学术

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The Hybrid-Exponential Scheme for Stochastic Volterra Equations

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Rømer Sigurd Emil

Publisher

Elsevier BV

Reference41 articles.

1. Lifting the Heston model;E Abi Jaber;Quantitative Finance,2019

2. Multifactor approximation of rough volatility models;E Abi Jaber;SIAM Journal on Financial Mathematics,2019

3. Affine Volterra processes;E Abi Jaber;The Annals of Applied Probability,2019

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Approximation of Stochastic Volterra Equations with kernels of completely monotone type;Mathematics of Computation;2023-11-02

2. On Multilevel and Control Variate Monte Carlo Methods for Option Pricing under the Rough Heston Model;Mathematics;2021-11-17

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