Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation (Q5397429)
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scientific article; zbMATH DE number 6260381
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation |
scientific article; zbMATH DE number 6260381 |
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Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation (English)
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20 February 2014
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inverse Gaussian
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asymptotic exactness
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fast moment-matching
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path-dependent options
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Heston model
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