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

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+MaRDI publication profile
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+.3297
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+Retrospective exact simulation of diffusion sample paths with applications
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+A factorisation of diffusion measure and finite sample path constructions
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+Exact simulation of diffusions
@@ Property / cites work: Exact simulation of diffusions / rank @@
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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+A new approach for option pricing under stochastic volatility
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+Lie group symmetries as integral transforms of fundamental solutions
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+The calculation of expectations for classes of diffusion processes by Lie symmetry methods
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+Infinite-dimensional quadrature and approximation of distributions
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+Efficient Monte Carlo simulation of security prices
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+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
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+Gamma expansion of the Heston stochastic volatility model
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Algorithm 823
@@ Property / cites work: Algorithm 823 / rank @@
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+Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
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+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
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+CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
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+Variance Reduction via Lattice Rules
@@ Property / cites work: Variance Reduction via Lattice Rules / rank @@
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+Q4942767
@@ Property / cites work: Q4942767 / rank @@
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+Monte Carlo Variance of Scrambled Net Quadrature
@@ Property / cites work: Monte Carlo Variance of Scrambled Net Quadrature / rank @@
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+Publication:3166709