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An Efficient Semi-Analytical Simulation for the Heston Model
Sun, Xianming
;
Gan, Siqing
- In:
Computational Economics
43
(
2014
)
4
,
pp. 433-445
With
splitting
technique
, a new semi-analytical scheme with predictable strong convergence order 1.0 is proposed for …
Persistent link: https://www.econbiz.de/10010866881
Saved in:
2
An efficient semi-analytical simulation for the Heston model
Sun, Xianming
;
Gan, Siqing
- In:
Computational economics
43
(
2014
)
4
,
pp. 433-445
Persistent link: https://www.econbiz.de/10010396258
Saved in:
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