EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL (Q3560077)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL |
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EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL (English)
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19 May 2010
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stochastic volatility
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simulation
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Heston
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non-central chi-squared inversion
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control variate
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