Discretising the Heston model: an analysis of the weak convergence rate

Altmayer, Martin ; Neuenkirch, Andreas

DOI: https://doi.org/10.1093/imanum/drw063
URL: https://academic.oup.com/imajna/article/37/4/1930/...
Additional URL: https://arxiv.org/abs/1604.05540
Document Type: Article
Year of publication: 2017
The title of a journal, publication series: IMA Journal of Numerical Analysis : IMAJNA
Volume: 37
Issue number: 4
Page range: 1930-1960
Place of publication: Oxford
Publishing house: Oxford University Press
ISSN: 0272-4979 , 1464-3642
Publication language: English
Institution: School of Business Informatics and Mathematics > Wirtschaftsmathematik II: Stochastische Numerik (Neuenkirch 2013-)
Subject: 510 Mathematics

Dieser Eintrag ist Teil der Universitätsbibliographie.

Metadata export


+ Search Authors in

BASE: Altmayer, Martin ; Neuenkirch, Andreas

Google Scholar: Altmayer, Martin ; Neuenkirch, Andreas

ORCID: Altmayer, Martin ; Neuenkirch, Andreas ORCID: 0000-0002-0419-1225

+ Page Views

Hits per month over past year

Detailed information

You have found an error? Please let us know about your desired correction here: E-Mail

Actions (login required)

Show item Show item