Gamma expansion of the Heston stochastic volatility model
Year of publication: |
2011
|
---|---|
Authors: | Glasserman, Paul ; Kim, Kyoung-kuk |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 15.2011, 2, p. 267-296
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
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