Simulation schemes for the Heston model with Poisson conditioning
Year of publication: |
2024
|
---|---|
Authors: | Choi, Jaehyuk ; Kwok, Yue-Kuen |
Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 314.2024, 1 (1.4.), p. 363-376
|
Subject: | (B) finance | Exact simulation | Gamma expansion | Heston model | Poisson conditioning | Stochastischer Prozess | Stochastic process | Simulation | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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