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~institution:"Tinbergen Instituut"
~person:"Lord, Roger"
~subject:"Stochastic volatility"
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THREE-POINT VOLATILITY SMILE C...
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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Lord, Roger
;
Koekkoek, Remmert
;
Dijk, Dick van
-
Tinbergen Instituut
-
2006
introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European
options
. Thirdly and …
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