Simulating from the Heston model: a gamma approximation scheme (Q500382): Difference between revisions

@@ Property / DOI @@
-.1515/mcma-2015-0105
@@ Property / DOI: 10.1515/mcma-2015-0105 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B70
@@ Property / Mathematics Subject Classification ID: 91B70 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6488360
@@ Property / zbMATH DE Number: 6488360 / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Heston model
@@ Property / zbMATH Keywords: Heston model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+simulation schemes
@@ Property / zbMATH Keywords: simulation schemes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+gamma expansion
@@ Property / zbMATH Keywords: gamma expansion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Asian options
@@ Property / zbMATH Keywords: Asian options / rank @@
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@@ Property / MaRDI profile type @@
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@@ Property / MaRDI profile type: Publication / rank @@
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+https://doi.org/10.1515/mcma-2015-0105
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@@ Property / DOI @@
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@@ Property / DOI: 10.1515/MCMA-2015-0105 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:500382