High order discretization schemes for stochastic volatility models
Year of publication: |
2013
|
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Authors: | Jourdain, Benjamin ; Sbai, Mohamed |
Institutions: | HAL |
Subject: | discretization schemes | stochastic volatility models | weak trajectorial convergence | multilevel Monte Carlo |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00409861 Published, Journal of Computational Finance, 2013, 17, 2, 113-165 |
Source: |
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