Gamma expansion of the Heston stochastic volatility model (Q483714): Difference between revisions
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| Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / zbMATH DE Number: 6381317 / rank | |||
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stochastic volatility model | |||
| Property / zbMATH Keywords: stochastic volatility model / rank | |||
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Monte Carlo methods | |||
| Property / zbMATH Keywords: Monte Carlo methods / rank | |||
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Revision as of 20:58, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Gamma expansion of the Heston stochastic volatility model |
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Gamma expansion of the Heston stochastic volatility model (English)
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17 December 2014
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stochastic volatility model
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Monte Carlo methods
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