Fast strong approximation Monte Carlo schemes for stochastic volatility models
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680600841108
Reference48 articles.
1. Abe, KES. 2004. Strong Taylor schemes for stochastic volatility. 2004.Working Paper, (www.maths.ox.ac.uk/~schmitz/project2.htm)
2. Volatility skews and extensions of the Libor market model
3. Andersen, L and Brotherton-Ratcliffe, R. 2001. Extended Libor market models with stochastic volatility. 2001.Working Paper, Gen Re Securities.
4. Andersen, L and Piterbarg, V. 2004. Moment explosions in stochastic volatilty models. 2004.Technical Report, Bank of America. (ssrn.com/abstract=559481)
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