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 (Neuenkirch 2013-)
Subject: 510 Mathematics

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Altmayer, Martin ; Neuenkirch, Andreas (2017) Discretising the Heston model: an analysis of the weak convergence rate. IMA Journal of Numerical Analysis : IMAJNA Oxford 37 4 1930-1960 [Article]


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