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  • Search: subject:"weak error"
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Year of publication
Subject
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Option pricing theory 2 Optionspreistheorie 2 Volatility 2 Volatilität 2 Weak error 2 weak error 2 Barrier option 1 Bartlett's decomposition 1 Bermudan options 1 Cointegration 1 Complexity 1 Digital option 1 Euler-Maruyama 1 Euler–Maruyama 1 Lagrange multiplier test 1 Lookback option 1 Markovian approximations 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Path-dependent option 1 Portmanteau tests 1 Rough Heston model 1 Simulation 1 Statistical error 1 Stochastic process 1 Stochastischer Prozess 1 Strong error 1 Vector error correction model 1 Weak error process 1 Wishart processes 1 affine processes 1 discretization schemes 1 exact simulation 1 non-Markovian dynamics 1 option pricing 1 rough Stein-Stein model 1 rough volatility 1
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Online availability
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Undetermined 3 Free 2
Type of publication
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Article 4 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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Undetermined 3 English 2
Author
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Bayer, Christian 2 Ahdida, Abdelkoddousse 1 Alfonsi, Aurélien 1 Giles, Michael 1 Hall, Eric Joseph 1 Higham, Desmond 1 Mao, Xuerong 1 Raïssi, Hamdi 1 Tempone, Raúl 1
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Institution
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HAL 1
Published in...
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Finance and Stochastics 1 International journal of theoretical and applied finance : IJTAF 1 Post-Print / HAL 1 Quantitative finance 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1
Source
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RePEc 3 ECONIS (ZBW) 2
Showing 1 - 5 of 5
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Efficient option pricing in the rough Heston model using weak simulation schemes
Bayer, Christian - In: Quantitative finance 24 (2024) 9, pp. 1247-1261
Persistent link: https://www.econbiz.de/10015196883
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Weak error rates for option pricing under linear rough volatility
Bayer, Christian; Hall, Eric Joseph; Tempone, Raúl - In: International journal of theoretical and applied … 25 (2022) 7/8, pp. 1-47
Persistent link: https://www.econbiz.de/10014235124
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Exact and high order discretization schemes for Wishart processes and their affine extensions
Ahdida, Abdelkoddousse; Alfonsi, Aurélien - HAL - 2013
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use composition techniques as Ninomiya and Victoir or Alfonsi. Doing so, we have found a remarkable...
Persistent link: https://www.econbiz.de/10010898676
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Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
Raïssi, Hamdi - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 2, pp. 304-324
Persistent link: https://www.econbiz.de/10008674088
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael; Higham, Desmond; Mao, Xuerong - In: Finance and Stochastics 13 (2009) 3, pp. 403-413
Persistent link: https://www.econbiz.de/10005061364
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