Fast strong approximation Monte Carlo schemes for stochastic volatility models
Year of publication: |
2006
|
---|---|
Authors: | Kahl, Christian ; Jackel, Peter |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 6.2006, 6, p. 513-536
|
Publisher: |
Taylor & Francis Journals |
Subject: | Stochastic volatility models | Stochastic numerical integration | Strong approximation error | Hyperbolic Ornstein-Uhlenbeck process | Hyperbolic volatility |
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