Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
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Publication:5397429
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Cites work
- 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 note on gamma variate generators with shape parameter less than unity
- A simple method for generating gamma variables
- A theory of the term structure of interest rates
- Asymptotic formulae for implied volatility in the Heston model
- Asymptotics of Implied Volatility far from Maturity
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term
- Efficient, almost exact simulation of the Heston stochastic volatility model
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Gamma expansion of the Heston stochastic volatility model
- Generating inverse Gaussian random variates by approximation
- On the Bessel distribution and related problems
- The large-maturity smile for the Heston model
Cited in
(5)- Chi-square simulation of the CIR process and the Heston model
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Simulating from the Heston model: a gamma approximation scheme
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