Chi-square simulation of the CIR process and the Heston model (Q2841330)
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scientific article; zbMATH DE number 6191018
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Chi-square simulation of the CIR process and the Heston model |
scientific article; zbMATH DE number 6191018 |
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24 July 2013
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generalized Marsaglia's polar method
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chi-square sampling
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CIR process
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stochastic volatility
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Cox-Ingersoll-Ross process
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generalized Gaussian random variables
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Gaussian sampling
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direct inversion method
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Beasley-Springer-Moro method
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Heston model
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Chi-square simulation of the CIR process and the Heston model (English)
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