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Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization...
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...