CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL
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Publication:2841330
DOI10.1142/S0219024913500143zbMath1269.91104arXiv0802.4411MaRDI QIDQ2841330
Anke Wiese, Simon J. A. Malham
Publication date: 24 July 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0802.4411
stochastic volatility; Heston model; CIR process; Cox-Ingersoll-Ross process; Gaussian sampling; generalized Gaussian random variables; direct inversion method; Beasley-Springer-Moro method; chi-square sampling; generalized Marsaglia's polar method
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G80: Financial applications of other theories
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