HAASTRECHT, ALEXANDER VAN; PELSSER, ANTOON - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 1-43
We deal with discretization schemes for the simulation of the Heston stochastic volatility model. These simulation … valued using closed-form expressions. For the Heston dynamics an exact simulation method was developed by Broadie and Kaya …, aimed to resolve the disadvantages of this method; one of the main bottlenecks in the exact scheme is the simulation of the …