EXACT SIMULATION OF THE 3/2 MODEL (Q3166709): Difference between revisions

@@ Property / arXiv ID @@
+.3297
@@ Property / arXiv ID: 1105.3297 / rank @@
+Normal rank
@@ Property / cites work @@
+Retrospective exact simulation of diffusion sample paths with applications
+Normal rank
@@ Property / cites work @@
+A factorisation of diffusion measure and finite sample path constructions
+Normal rank
@@ Property / cites work @@
+Exact simulation of diffusions
@@ Property / cites work: Exact simulation of diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+A new approach for option pricing under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Lie group symmetries as integral transforms of fundamental solutions
+Normal rank
@@ Property / cites work @@
+The calculation of expectations for classes of diffusion processes by Lie symmetry methods
+Normal rank
@@ Property / cites work @@
+Infinite-dimensional quadrature and approximation of distributions
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation of security prices
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Gamma expansion of the Heston stochastic volatility model
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Algorithm 823
@@ Property / cites work: Algorithm 823 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
+Normal rank
@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
+Normal rank
@@ Property / cites work @@
+Variance Reduction via Lattice Rules
@@ Property / cites work: Variance Reduction via Lattice Rules / rank @@
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo Variance of Scrambled Net Quadrature
@@ Property / cites work: Monte Carlo Variance of Scrambled Net Quadrature / rank @@
+Normal rank