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Gamma expansion of the Heston stochastic volatility model

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Author Info

  • Paul Glasserman

    ()

  • Kyoung-Kuk Kim

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-009-0115-y
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 15 (2011)
    Issue (Month): 2 (June)
    Pages: 267-296

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    Handle: RePEc:spr:finsto:v:15:y:2011:i:2:p:267-296

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Stochastic volatility model; Monte Carlo methods; 60H35; 65C05; 91B70; C63; G12; G13;

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    References

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    1. Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
    2. Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010. "A comparison of biased simulation schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 177-194.
    3. Alexander Van Haastrecht & Antoon Pelsser, 2010. "Efficient, Almost Exact Simulation Of The Heston Stochastic Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-43.
    4. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    5. Devroye, Luc, 2002. "Simulating Bessel random variables," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 249-257, April.
    6. Christian Kahl & Peter Jackel, 2006. "Fast strong approximation Monte Carlo schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 513-536.
    7. Lin Yuan & John Kalbfleisch, 2000. "On the Bessel Distribution and Related Problems," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(3), pages 438-447, September.
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    Cited by:
    1. Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
    2. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carol Methods for the Heston Model," Research Paper Series 307, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Gabriel Faraud & St├ęphane Goutte, 2012. "Bessel bridges decomposition with varying dimension. Applications to finance," Working Papers hal-00694126, HAL.
    4. Lancelot F. James & Dohyun Kim & Zhiyuan Zhang, 2013. "Exact simulation pricing with Gamma processes and their extensions," Papers 1310.6526, arXiv.org, revised Nov 2013.

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