Fast and accurate long-stepping simulation of the Heston stochastic volatility model
Year of publication: |
2013
|
---|---|
Authors: | Chan, Jiun Hong ; Joshi, Mark S. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 16.2012/13, 3, p. 47-97
|
Subject: | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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