Simulating from the Heston model: A gamma approximation...

Monte Carlo Methods and Applications 2015 / 01 Vol. 21; Iss. 3

Simulating from the Heston model: A gamma approximation scheme

Bégin, Jean-François, Bédard, Mylène, Gaillardetz, Patrice
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Volume:
21
Language:
english
Journal:
Monte Carlo Methods and Applications
DOI:
10.1515/mcma-2015-0105
Date:
January, 2015
File:
PDF, 1.25 MB
english, 2015
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