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scheme model process heston model convergence truncation scheme truncation heston euler price volatility variance stock price simulation order option discretisation example result square root process square function stock proof value discretization absorption higham broadie method simulation schemes paper moment error mean-reverting timestep erasmu table condition drift variance process rotterdam time step rms error parameter equation section university reflection euler fixes euler schemes euler discretisation pricing origin volatility models number european interest boundary lemma andersen problem ijk-imm scheme theorem algorithm distribution euler scheme euler discretization carlo cev-sv figure asset cev-sv model ijk-imm diffusion quasi-second order schemes monte square root centre property
2 Most Recent Publications
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A comparison of biased simulation schemes for stochastic volatility models
(Article)
Lord, R. Koekkoek, R. Dijk, D.J.C. van |
2010-02-01
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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
(Research Paper)
Lord, R. Koekkoek, R. Dijk, D.J.C. van |
2006-05-17
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