Simulating the Cox-Ingersoll-Ross and Heston processes : matching the first four moments
Ostap Okhrin, Michael Rockinger and Manuel Schmid
| Year of publication: |
2022
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|---|---|
| Authors: | Okhrin, Ostap ; Rockinger, Michael ; Schmid, Manuel |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2022, 2, p. 1-52
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| Subject: | simulation | quadratic exponential scheme | higher moments | Cox-Ingersoll-Ross (CIR) process | Feller process | Heston process | Simulation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2022.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013549657