Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Year of publication: |
2023
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Authors: | Mickel, Annalena ; Neuenkirch, Andreas |
Published in: |
The journal of computational finance : JFC. - London : Infopro Digital Risk, ISSN 1755-2850, ZDB-ID 2091445-3. - Vol. 26.2023, 4, p. 67-100
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Subject: | Cox-Ingersoll-Ross (CIR) process | Heston model | Euler-type methods | L1-error | Feller index | Stochastischer Prozess | Stochastic process | Theorie | Theory | Analysis | Mathematical analysis |
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