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- W3182913019 abstract "We consider a time-discrete scheme for the Heston stochastic volatility model, which employs the stochastic trapezoidal rule to discretize the logarithmic asset process, provided that the variance process is simulated exactly. We prove that, with respect to any polynomial function of the log-asset process, the weak error can be expanded to arbitrarily high powers of step size, which allows us to construct higher-order weak approximations by extrapolation. The result applies for the full parameter regime." @default.
- W3182913019 created "2021-07-19" @default.
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- W3182913019 date "2022-01-01" @default.
- W3182913019 modified "2023-10-18" @default.
- W3182913019 title "Higher-order weak schemes for the Heston stochastic volatility model by extrapolation" @default.
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- W3182913019 doi "https://doi.org/10.1016/j.jmaa.2021.125463" @default.
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