CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330)
From MaRDI portal
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
24 July 2013
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
0 references
0 references
0 references
0 references
0 references
0 references
