Gamma expansion of the Heston stochastic volatility model
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Volume (Year): 15 (2011)
Issue (Month): 2 (June)
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- 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.
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