Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
| Year of publication: |
2013
|
|---|---|
| Authors: | Tse, S. T. ; Wan, Justin W. L. |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 20554588. - Vol. 13.2013, 6 (1.6.), p. 919-937
|