Gamma expansion of the Heston stochastic volatility model (Q483714): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-009-0115-y
+Normal rank
@@ Property / OpenAlex ID @@
+W3125684429
@@ Property / OpenAlex ID: W3125684429 / rank @@
+Normal rank
@@ Property / cites work @@
+The Fourier-series method for inverting transforms of probability distributions
+Normal rank
@@ Property / cites work @@
+On the discretization schemes for the CIR (and Bessel squared) processes
+Normal rank
@@ Property / cites work @@
+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
+Normal rank
@@ Property / cites work @@
+On simulation from infinitely divisible distributions
+Normal rank
@@ Property / cites work @@
+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of discretized stochastic (interest rate) processes with stochastic drift term
+Normal rank
@@ Property / cites work @@
+No arbitrage condition for positive diffusion price processes
+Normal rank
@@ Property / cites work @@
+Simulating bessel random variables
@@ Property / cites work: Simulating bessel random variables / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation of security prices
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Q4869639
@@ Property / cites work: Q4869639 / rank @@
+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 @@
+Simulation from the bessel distribution with applications
+Normal rank
@@ Property / cites work @@
+Fast strong approximation Monte Carlo schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q2774021
@@ Property / cites work: Q2774021 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+A decomposition of Bessel Bridges
@@ Property / cites work: A decomposition of Bessel Bridges / rank @@
+Normal rank
@@ Property / cites work @@
+Infinitely Divisible Laws Associated with Hyperbolic Functions
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
+Normal rank
@@ Property / cites work @@
+On the Bessel distribution and related problems
@@ Property / cites work: On the Bessel distribution and related problems / rank @@
+Normal rank