Simulation of Square-Root Processes

Author:

Andersen Leif B.G.,Jäckel Peter,Kahl Christian

Publisher

John Wiley & Sons, Ltd

Reference15 articles.

1. Alfonsi , A. 2008 A Second-Order Discretization Scheme for the CIR Process: Application to the Heston Model, Working Paper, Institut für Mathematik, TU, Berlin.

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

3. Simple and efficient simulation of the Heston stochastic volatility model;Andersen;Journal of Computational Finance,2008

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

5. Gamma variate generators with increased shape parameter range;Cheng;Communications of the ACM,1980

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