Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Annalena Mickel and Andreas Neuenkirch
| Alternative title: | Sharp L1-approximation of the log-Heston stochastic differential equation by Euler-type methods |
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| Year of publication: |
2023
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| Authors: | Mickel, Annalena ; Neuenkirch, Andreas |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - 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 | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
| Type of publication: | Article |
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| 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/10014342066