Fast and Accurate Long Stepping Simulation of the Heston...

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Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model

Chan, Jiun Hong, Joshi, Mark S.
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Year:
2010
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1617187
File:
PDF, 1.05 MB
english, 2010
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