Gamma expansion of the Heston stochastic volatility model
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Publication:483714
DOI10.1007/s00780-009-0115-yzbMath1302.60100OpenAlexW3125684429MaRDI QIDQ483714
Paul Glasserman, Kyoung-Kuk Kim
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0115-y
Monte Carlo methods (65C05) Stochastic models in economics (91B70) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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