Simulating from the Heston model: a gamma approximation scheme

DOI10.1515/MCMA-2015-0105zbMath1322.91056OpenAlexW2209871569MaRDI QIDQ500382

Jean-François Bégin, Mylène Bédard, Patrice Gaillardetz

Publication date: 2 October 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2015-0105

zbMATH Keywords

stochastic volatilityAsian optionsHeston modelgamma expansionsimulation schemes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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