Gamma expansion of the Heston stochastic volatility model
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Damien Ackerer & Damir Filipovic, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Papers 1711.09193, arXiv.org, revised Dec 2017.
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- Chenxu Li, 2016. "Bessel Processes, Stochastic Volatility, And Timer Options," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 122-148, January.
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- 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.
- Gabriel Faraud & Stéphane Goutte, 2012. "Bessel bridges decomposition with varying dimension. Applications to finance," Working Papers hal-00694126, HAL.
- Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
- 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
KeywordsStochastic volatility model; Monte Carlo methods; 60H35; 65C05; 91B70; C63; G12; G13;
- 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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