7 search results - page 1 / 2 » Gamma expansion of the Heston stochastic volatility model |
FS
2011
12 years 8 months ago
2011
Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...
WSC
2004
13 years 5 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
WSC
2007
13 years 6 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
ICML
2010
IEEE
13 years 5 months ago
2010
IEEE
Predicting the "Value at Risk" of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, "dynamical products of ex...
IOR
2006
13 years 4 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...