Simulating from the Heston model: a gamma approximation scheme (Q500382): Difference between revisions
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Revision as of 00:28, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulating from the Heston model: a gamma approximation scheme |
scientific article |
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Simulating from the Heston model: a gamma approximation scheme (English)
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2 October 2015
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stochastic volatility
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Heston model
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simulation schemes
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gamma expansion
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Asian options
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