Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
From MaRDI portal
Publication:5397429
DOI10.1080/14697688.2012.696678zbMath1281.91191OpenAlexW3122360673MaRDI QIDQ5397429
No author found.
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.696678
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Jumps and stochastic volatility in crude oil prices and advances in average option pricing ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach
Uses Software
Cites Work
- Gamma expansion of the Heston stochastic volatility model
- The large-maturity smile for the Heston model
- Generating inverse Gaussian random variates by approximation
- A note on gamma variate generators with shape parameter less than unity
- A Theory of the Term Structure of Interest Rates
- Asymptotic formulae for implied volatility in the Heston model
- Asymptotics of Implied Volatility far from Maturity
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- A simple method for generating gamma variables
- A comparison of biased simulation schemes for stochastic volatility models
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- On the Bessel distribution and related problems
This page was built for publication: Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
