Global Sensitivity Analysis of Various Numerical Schemes for the Heston Model.

Emanouil I. Atanassov Sergei S. Kucherenko Aneta Karaivanova

Published in: ICCS (7) (2020)

Keyphrases

sensitivity analysis
mathematical model
influence diagrams
computational model
experimental data
managerial insights
variational inequalities
control system
dynamic programming
probabilistic model
management system
linear programming
theoretical analysis
theoretical framework
simulation model