Mixed Gaussian Heston asset pricing model and statistics simulation analysis

MaRDI QIDQ5075199zbMATH OpenFDO

Authors Jingjing Chai, Jingjun Guo

Publication date 10 May 2022

Full work available at URL http://aps.ecnu.edu.cn/EN/abstract/abstract9399.shtml

zbMATH Keywords

Heston modelmixed Gaussian processMonte Carlo simulation

Mathematics Subject Classification ID

Gaussian processes (60G15) Risk models (general) (91B05)

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Cited in

(3)

• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
• Simulated Moments Estimation of Markov Models of Asset Prices
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation

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