Efficient, almost exact simulation of the Heston stochastic volatility model
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Publication:3560077
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Cites work
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- scientific article; zbMATH DE number 699423 (Why is no real title available?)
- scientific article; zbMATH DE number 236854 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A comparison of biased simulation schemes for stochastic volatility models
- A simple method for generating gamma variables
- A theory of the term structure of interest rates
- Computation of the incomplete gamma function ratios and their inverse
- Computer Generation of Poisson Deviates from Modified Normal Distributions
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Fuzzy interval methods in investment risk appraisal.
- Monotone Piecewise Cubic Interpolation
- Stock price distributions with stochastic volatility: an analytic approach
- The pricing of options and corporate liabilities
Cited in
(28)- Chi-square simulation of the CIR process and the Heston model
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Multilevel Monte Carlo using approximate distributions of the CIR process
- Calibration and simulation of Heston model
- A robust spectral method for solving Heston's model
- On an efficient multiple time step Monte Carlo simulation of the SABR model
- Series Expansions and Direct Inversion for the Heston Model
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- A low-bias simulation scheme for the SABR stochastic volatility model
- A comparison of biased simulation schemes for stochastic volatility models
- Nearly exact option price simulation using characteristic functions
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
- Full and fast calibration of the Heston stochastic volatility model
- Levelling the playing field: a VIX-linked structure for funded pension schemes
- Conditional sampling for barrier option pricing under the Heston model
- Analytic approach to solve a degenerate parabolic PDE for the Heston model
- The Heston stochastic-local volatility model: efficient Monte Carlo simulation
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Gamma expansion of the Heston stochastic volatility model
- Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation
- Simulating from the Heston model: a gamma approximation scheme
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Valuation of forward start options under affine jump-diffusion models
- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
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