Mickel, Annalena; Neuenkirch, Andreas - In: Risks : open access journal 9 (2021) 1/23, pp. 1-38
Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243-1263, we studied the weak error of discretization schemes for the Heston model, which are based on exact simulation...
