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Efficient Simulation of the Heston Stochastic Volatility Model · Study

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PreprintEfficient Simulation of the Heston Stochastic Volatility Model

Leif B. G. Andersen2006

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Preprintgreen2006

Efficient Simulation of the Heston Stochastic Volatility Model

Leif B. G. Andersen

174 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Markov Chains and Monte Carlo Methods

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2003Monte Carlo Methods in Financial Engineering 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1999Option valuation using the fast Fourier transform 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions 2000Introduction and Summary of Results (Excerpt)2000The Term Structure of Implied Volatility

Cited by

2010Time Dependent Heston Model 2020Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations 2009Gamma expansion of the Heston stochastic volatility model 2008Consistent Modeling of SPX and VIX options 2020Spatiotemporal Hypergraph Convolution Network for Stock Movement Forecasting 2009Extension of stochastic volatility equity models with the Hull–White interest rate process

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2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Modelspreprint · 9 shared references 2011On the Heston Model with Stochastic Interest Ratesarticle · 8 shared references 2005Modeling Financial Security Returns Using Levy Processespreprint · 8 shared references 2009A comparison of biased simulation schemes for stochastic volatility modelsarticle · 7 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 7 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations174

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.946405

openalex_workW2167129367

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2010Efficient, almost exact simulation of the Heston stochastic volatility model

2010The Stochastic Behavior of Commodity Prices with Heteroscedasticity in the Convenience Yield