A comparison of biased simulation schemes for stochastic volatility models-Reference-Cited by-同舟云学术

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A comparison of biased simulation schemes for stochastic volatility models

Published:2009-04-28 Issue:2 Volume:10 Page:177-194
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Lord Roger¹,Koekkoek Remmert²,Dijk Dick Van³

Affiliation:

1. a Financial Engineering , Cardano, St Clements House, 5th Floor, 27–28 Clements Lane, London EC4N 7AE , UK

2. b Robeco Alternative Investments , Coolsingel 120, 3011 AG Rotterdam , The Netherlands

3. c Erasmus University Rotterdam, Econometric Institute , P.O. Box 1738, 3000 DR Rotterdam , The Netherlands

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697680802392496

Reference45 articles.

1. On the discretization schemes for the CIR (and Bessel squared) processes

2. Simple and efficient simulation of the Heston stochastic volatility model

3. Extended Libor market models with stochastic volatility

4. Moment explosions in stochastic volatility models

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