Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model
Year of publication: |
2010
|
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Authors: | Chan, Jiun Hong |
Other Persons: | Joshi, Mark S. (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastische Volatilität | Stochastic volatility | Volatilität | Volatility | Simulation |
Extent: | 1 Online-Ressource (30 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 28, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1617187 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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