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Gamma expansion of the Heston stochastic volatility model

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  • Paul Glasserman

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  • Kyoung-Kuk Kim

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Abstract

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Suggested Citation

  • Paul Glasserman & Kyoung-Kuk Kim, 2011. "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, vol. 15(2), pages 267-296, June.
  • Handle: RePEc:spr:finsto:v:15:y:2011:i:2:p:267-296
    DOI: 10.1007/s00780-009-0115-y
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    File URL: http://hdl.handle.net/10.1007/s00780-009-0115-y
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    References listed on IDEAS

    as
    1. Devroye, Luc, 2002. "Simulating Bessel random variables," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 249-257, April.
    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. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    4. Lin Yuan & John Kalbfleisch, 2000. "On the Bessel Distribution and Related Problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(3), pages 438-447, September.
    5. Alfonsi Aurélien, 2005. "On the discretization schemes for the CIR (and Bessel squared) processes," Monte Carlo Methods and Applications, De Gruyter, vol. 11(4), pages 355-384, December.
    6. 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.
    7. 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.
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    Citations

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    Cited by:

    1. Damien Ackerer & Damir Filipovic, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Papers 1711.09193, arXiv.org, revised Dec 2017.
    2. Bégin Jean-François & Bédard Mylène & Gaillardetz Patrice, 2015. "Simulating from the Heston model: A gamma approximation scheme," Monte Carlo Methods and Applications, De Gruyter, vol. 21(3), pages 205-231, September.
    3. Chenxu Li, 2016. "Bessel Processes, Stochastic Volatility, And Timer Options," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 122-148, January.
    4. repec:eee:ejores:v:263:y:2017:i:2:p:625-638 is not listed on IDEAS
    5. 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.
    6. Gabriel Faraud & Stéphane Goutte, 2012. "Bessel bridges decomposition with varying dimension. Applications to finance," Working Papers hal-00694126, HAL.
    7. Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
    8. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carlo methods for the Heston model," Papers 1202.3217, arXiv.org, revised May 2012.

    More about this item

    Keywords

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

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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