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Global Sensitivity Analysis of Various Numerical Schemes for the Heston Model
The pricing of financial options is usually based on statistical sampling of the evolution of the underlying under a chosen model, using a suitable numerical scheme. It is widely accepted that using low-discrepancy sequences instead of pseudorandom numbers in most cases increases the accuracy. It is...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7304776/ http://dx.doi.org/10.1007/978-3-030-50436-6_38 |