CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Set OpenAlex properties.
 
(5 intermediate revisions by 4 users not shown)
Property / author
 
Property / author: Simon J. A. Malham / rank
Normal rank
 
Property / author
 
Property / author: Simon J. A. Malham / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 0802.4411 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computer Generation of Poisson Deviates from Modified Normal Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computer methods for sampling from gamma, beta, Poisson and binomial distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the discretization schemes for the CIR (and Bessel squared) processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: High order discretization schemes for the CIR process: Application to affine term structure and Heston models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moment explosions in stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence / rank
 
Normal rank
Property / cites work
 
Property / cites work: COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: First and second moment reversion for a discretized square root process with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of discretized stochastic (interest rate) processes with stochastic drift term / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Monte Carlo simulation of security prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Two singular diffusion problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gamma expansion of the Heston stochastic volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(L_p\)-norm spherical distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: On decompositional algorithms for uniform sampling from \(n\)-spheres and \(n\)-balls / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-Monte Carlo Methods in Numerical Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Structure preserving stochastic integration schemes in interest rate derivative modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast strong approximation Monte Carlo schemes for stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Balanced Milstein Methods for Ordinary SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3923307 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4349924 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A method for generating uniformly scattered points on the \(L_p\)-norm unit sphere and its applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility models and Kelvin waves / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Strong Integrators for Linear Stochastic Systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: A comparison of biased simulation schemes for stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Lie Group Integrators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic expansions and Hopf algebras / rank
 
Normal rank
Property / cites work
 
Property / cites work: A simple method for generating gamma variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method / rank
 
Normal rank
Property / cites work
 
Property / cites work: A decomposition of Bessel Bridges / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the characteristic function of the generalized normal distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5287558 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Contingent Claims and Market Completeness in a Stochastic Volatility Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Characterization of the \(p\)-generalized normal distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: $L_p$-norm uniform distribution / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2963014857 / rank
 
Normal rank

Latest revision as of 09:47, 30 July 2024

scientific article
Language Label Description Also known as
English
CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL
scientific article

    Statements

    CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (English)
    0 references
    0 references
    0 references
    24 July 2013
    0 references
    0 references
    0 references
    0 references
    0 references
    generalized Marsaglia's polar method
    0 references
    chi-square sampling
    0 references
    CIR process
    0 references
    stochastic volatility
    0 references
    Cox-Ingersoll-Ross process
    0 references
    generalized Gaussian random variables
    0 references
    Gaussian sampling
    0 references
    direct inversion method
    0 references
    Beasley-Springer-Moro method
    0 references
    Heston model
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references