Efficient Simulation of the Heston Stochastic Volatility Model-Reference-Cited by-同舟云学术

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Efficient Simulation of the Heston Stochastic Volatility Model

Published:2007 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Andersen Leif B. G.

Publisher

Elsevier BV

Reference28 articles.

1. Volatile Volatilities;L Andersen;Risk Magazine,2002

2. Extended LIBOR market models with stochastic volatility;L Andersen;Journal of Computational Finance,2005

3. Moment explosions in stochastic volatility models;L Andersen;Finance and Stochastics, forthcoming,2005

4. Exact simulation of stochastic volatility and other affine jump diffusion processes;M Broadie;Operations Research,2006

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