Fast and accurate long-stepping simulation of the Heston stochastic volatility model
Year of publication: |
2013
|
---|---|
Authors: | Chan, Jiun Hong ; Joshi, Mark |
Published in: |
The journal of computational finance. - London : Incisive Media, ISSN 1460-1559, ZDB-ID 1433009x. - Vol. 16.2013, 3, p. 47-98
|
Saved in:
Saved in favorites
Similar items by person
-
Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong, (2009)
-
First and second order Greeks in the Heston model
Chan, Jiun Hong, (2010)
-
Fast and accurate long stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong, (2010)
- More ...