Pages that link to "Item:Q483714"

The following pages link to Gamma expansion of the Heston stochastic volatility model (Q483714):

Displaying 28 items.

• Bessel bridges decomposition with varying dimension: applications to finance (Q482808) (← links)
• Simulating from the Heston model: a gamma approximation scheme (Q500382) (← links)
• The moments of a diffusion process (Q1642244) (← links)
• Towards the exact simulation using hyperbolic Brownian motion (Q1684776) (← links)
• Full and fast calibration of the Heston stochastic volatility model (Q1694942) (← links)
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
• Estimating option Greeks under the stochastic volatility using simulation (Q2149316) (← links)
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889) (← links)
• Modeling rate of adaptive trait evolution using Cox-Ingersoll-Ross process: an approximate Bayesian computation approach (Q2305319) (← links)
• Bessel processes, stochastic volatility, and timer options (Q2788692) (← links)
• Chi-square simulation of the CIR process and the Heston model (Q2841330) (← links)
• EXACT SIMULATION OF THE 3/2 MODEL (Q3166709) (← links)
• Backward simulation methods for pricing American options under the CIR process (Q4555172) (← links)
• Series Expansions and Direct Inversion for the Heston Model (Q4988549) (← links)
• Moments of integrated exponential Lévy processes and applications to Asian options pricing (Q5039631) (← links)
• Model-driven statistical arbitrage on LETF option markets (Q5212060) (← links)
• Simulating random variables using moment-generating functions and the saddlepoint approximation (Q5219231) (← links)
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions (Q5234297) (← links)
• Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007) (← links)
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation (Q5397429) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (Q6549599) (← links)
• Exact simulation of the Hull and White stochastic volatility model (Q6572645) (← links)
• Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption (Q6648741) (← links)