Gamma expansion of the Heston stochastic volatility model
| Year of publication: |
2011
|
|---|---|
| Authors: | Glasserman, Paul ; Kim, Kyoung-Kuk |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 2, p. 267-296
|
| Publisher: |
Springer |
| Subject: | Stochastic volatility model | Monte Carlo methods |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009149761