C++ code for MonteCarlo simulations with Euler-Maruyama and Milstein discretization in Heston framework with digital options

Tiberiu Socaciu

Abstract


C++ code for MonteCarlo simulations with Euler-Maruyama and Milstein discretization in Heston framework with digital options

References


C++ code for MonteCarlo simulations with Euler-Maruyama and Milstein discretization in Heston framework with digital options


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