Chi-square simulation of the CIR process and the Heston model
Simon J. A. Malham and Anke Wiese
| Year of publication: |
2013
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|---|---|
| Authors: | Malham, Simon J. A. ; Wiese, Anke |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 3, p. 1-38
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| Subject: | Generalized Gaussian | generalized Marsaglia method | direct inversion | chi-square sampling | CIR process | stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Stichprobenerhebung | Sampling | Wahrscheinlichkeitsrechnung | Probability theory |