Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer … from computationally expensive Bessel function evaluations. We propose a new exact simulation scheme without the Bessel … simulation schemes in terms of accuracy, efficiency, and reliability when compared with existing methods …

regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

efficient simulation of dependent default times for pricing and risk management purposes is straightforward as well. Parameter …

performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times …

efficient simulation of dependent default times for pricing and risk management purposes is straightforward as well. Parameter …

performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times …