Gamma expansion of the Heston stochastic volatility model
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DOI: 10.1007/s00780-009-0115-y
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More about this item
Keywords
Stochastic volatility model; Monte Carlo methods; 60H35; 65C05; 91B70; C63; G12; G13;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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