The weak convergence order of two Euler-type discretization schemes for the log-Heston model
Author:
Affiliation:
1. Mathematical Institute and DFG Research Training Group 1953, University of Mannheim , B6, 26, D-68131 Mannheim, Germany
2. Mathematical Institute, University of Mannheim , B6, 26, D-68131 Mannheim, Germany
Abstract
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Computational Mathematics,General Mathematics
Link
https://academic.oup.com/imajna/advance-article-pdf/doi/10.1093/imanum/drac069/47206246/drac069.pdf
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3. High order discretization schemes for the CIR process: application to affine term structure and Heston models;Alfonsi;Math. Comp.,2010
4. Quadrature of discontinuous SDE functionals using Malliavin integration by parts;Altmayer,2015
5. Discretising the Heston model: an analysis of the weak convergence rate;Altmayer;IMA J. Numer. Anal.,2017
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. Multilevel Monte Carlo simulation for the Heston stochastic volatility model;Advances in Computational Mathematics;2023-11-20
2. Sharp L1-approximation of the log-Heston stochastic differential equation by Euler-type methods;J COMPUT FINANC;2023
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