Simulating from the Heston model: a gamma approximation scheme (Q500382)
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scientific article; zbMATH DE number 6488360
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulating from the Heston model: a gamma approximation scheme |
scientific article; zbMATH DE number 6488360 |
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Simulating from the Heston model: a gamma approximation scheme (English)
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2 October 2015
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stochastic volatility
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Heston model
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simulation schemes
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gamma expansion
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Asian options
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0.90423715
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0.9009409
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0.8894193
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0.8863398
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0.88614565
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0.88432693
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0.8822869
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0.8808631
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0.8785188
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