Efficient option pricing in the rough Heston model using weak simulation schemes
Christian Bayer and Simon Breneis
| Year of publication: |
2024
|
|---|---|
| Authors: | Bayer, Christian |
| Subject: | Bermudan options | Markovian approximations | Rough Heston model | Simulation | Weak error | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2391523 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196883