Simple and efficient simulation of the Heston stochastic volatility model
Year of publication: |
2008
|
---|---|
Authors: | Andersen, Leif B. G. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 11.2007/08, 3, p. 1-42
|
Subject: | Finanzmarkt | Financial market | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation |
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