Efficient, almost exact simulation of the Heston stochastic volatility model (Q3560077)
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scientific article; zbMATH DE number 5709673
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| English | Efficient, almost exact simulation of the Heston stochastic volatility model |
scientific article; zbMATH DE number 5709673 |
Statements
EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL (English)
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19 May 2010
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stochastic volatility
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simulation
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Heston
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non-central chi-squared inversion
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control variate
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0.8231191039085388
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0.8229061365127563
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0.8092950582504272
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0.8017256855964661
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0.7746208906173706
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