A. Mickel

activity

20212023

most citedSharp

L^{1}

-Approximation of the log-Heston SDE by Euler-type methods

2 citations · 2 across the 5 of their papers we have counts for

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Showing 2022 · math.NAShow all

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math.NA2022

The order barrier for the $L^{1}$ -approximation of the log-Heston SDE at a single point

Annalena Mickel, Andreas Neuenkirch

We study the $L^{1}$ -approximation of the log-Heston SDE at the terminal time point by arbitrary methods that use an equidistant discretization of the driving Brownian motion. We sho…

math.NA2022★ 2 cited

Sharp $L^{1}$ -Approximation of the log-Heston SDE by Euler-type methods

Annalena Mickel, Andreas Neuenkirch

We study the $L^{1}$ -approximation of the log-Heston SDE at equidistant time points by Euler-type methods. We establish the convergence order $1/2 - ε$ for $ε > 0$ arbitrarily small, if…

The order barrier for the L1-approximation of the log-Heston SDE at a single point

Sharp L1-Approximation of the log-Heston SDE by Euler-type methods

The order barrier for the $L^{1}$ -approximation of the log-Heston SDE at a single point

Sharp $L^{1}$ -Approximation of the log-Heston SDE by Euler-type methods