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Path properties of simulation schemes for the Heston stochastic volatility model


  • Gianna Figà-Talamanca


The aim of this study is to evaluate some simulation schemes recently suggested for the Heston model by examining their ability in reproducing, on the simulated paths, the autocovariance function of the generated model, when discretely observed. This is done by applying the outcomes of previous research where, based on discrete equi-spaced observations of the log-price, we determined an approximate confidence band for the theoretical autocovariance function of the mean variance process.

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  • Gianna Figà-Talamanca, 2009. "Path properties of simulation schemes for the Heston stochastic volatility model," Quaderni del Dipartimento di Economia, Finanza e Statistica 68/2008, Università di Perugia, Dipartimento Economia.
  • Handle: RePEc:pia:wpaper:68/2008

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    1. John Haltiwanger & Hartmut Lehmann & Katherine Terrell, 2003. "Job Creation and Job Destruction in Transition Countries," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 11(2), pages 205-219, June.
    2. Dominik H. Enste & Friedrich Schneider, 2000. "Shadow Economies: Size, Causes, and Consequences," Journal of Economic Literature, American Economic Association, vol. 38(1), pages 77-114, March.
    3. Patrick Puhani & Viktor Steiner, 1997. "The Effectiveness and Efficiency of Active Labour Market Policies in Poland," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 24(3), pages 209-231, October.
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