Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Annalena Mickel and Andreas Neuenkirch
| Year of publication: |
2023
|
|---|---|
| Authors: | Mickel, Annalena ; Neuenkirch, Andreas |
| Subject: | Cox-Ingersoll-Ross (CIR) process | Heston model | Euler-type methods | L1-error | Feller index | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2023.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014486902