A comparison of biased simulation schemes for stochastic volatility models

Quantitative Finance

Volumn 10, Issue 2, 2010, Pages 177-194

  Lord, Roger ^a   Koekkoek, Remmert ^b   van Dick, Dijk ^c  

^a Financial Engineering   (United Kingdom)

^b Robeco   (Netherlands)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Boundary behaviour; Cev process; Discretization; Euler maruyama; Heston; Square root process; Stochastic volatility; Strong convergence; Weak convergence

Indexed keywords

EID: 75849146031     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680802392496     Document Type: Article

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