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Search: subject:"weak approximation schemes"
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LÜTKEBOHMERT, EVA
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Lütkebohmert, Eva
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MATCHIE, LYDIENNE
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International Journal of Theoretical and Applied Finance (IJTAF)
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International journal of theoretical and applied finance
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Value-at-risk computations in stochastic volatility models using second-order
weak
approximation
schemes
Lütkebohmert, Eva
;
Matchie, Lydienne
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010363958
Saved in:
2
VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER
WEAK
APPROXIMATION
SCHEMES
LÜTKEBOHMERT, EVA
;
MATCHIE, LYDIENNE
- In:
International Journal of Theoretical and Applied …
17
(
2014
)
01
,
pp. 1450004-1
We explore the class of second-order
weak
approximation
schemes
(cubature methods) for the numerical simulation of …
Persistent link: https://www.econbiz.de/10011011267
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