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Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425

Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: The journal of futures markets 31 (2011) 2, pp. 103-125

Persistent link: https://www.econbiz.de/10008908408

Efficient, Almost Exact Simulation of the Heston Stochastic Volatility Model

van Haastrecht, Alexander - 2010

We deal with discretization schemes for the simulation of the Heston stochastic volatility model. These simulation methods yield a popular and flexible pricing alternative for pricing and managing a book of exotic derivatives which cannot be valued using closed-form expressions. For the Heston...

Persistent link: https://www.econbiz.de/10013142496