Open AccessHigh-order discretization schemes for stochastic volatility models
Author(s) -
Benjamin Jourdain,
Mohamed Ali Sbai
Publication year - 2013
Publication title -
the journal of computational finance
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.677
H-Index - 14
eISSN - 1755-2850
pISSN - 1460-1559
DOI - 10.21314/jcf.2013.262
Subject(s) - stochastic volatility , discretization , stochastic differential equation , volatility (finance) , geometric brownian motion , mathematics , weak convergence , brownian motion , stochastic process , convergence (economics) , mathematical optimization , econometrics , asset (computer security) , computer science , diffusion process , economics , mathematical analysis , statistics , knowledge management , economic growth , innovation diffusion , computer security
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