Gamma expansion of the Heston stochastic volatility model

Paul Glasserman () and Kyoung-Kuk Kim ()

Finance and Stochastics, 2011, vol. 15, issue 2, 267-296

Keywords: Stochastic volatility model; Monte Carlo methods; 60H35; 65C05; 91B70; C63; G12; G13 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s00780-009-0115-y

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