that the spot dynamics is consistent with the forward curve. Moreover, we also conceive efficient algorithms for the exact … simulation of the skeleton of such processes and propose a novel procedure when they coincide with compound Poisson processes of …

for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a …

for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a …

derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to …

derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to …