Some simulation schemes for the square root Ito process are investigated and compared according to the consistency betweeb the generated data and statistical path propertes of the simulated theoretical process.
Path Properties of simulation schemes for the Heston stochastic volatility model
FIGA' TALAMANCA, GIANNA
2009
Abstract
Some simulation schemes for the square root Ito process are investigated and compared according to the consistency betweeb the generated data and statistical path propertes of the simulated theoretical process.File in questo prodotto:
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