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FS
2011
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FS 2011
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Gamma expansion of the Heston stochastic volatility model
13 years 2 months ago
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www2.gsb.columbia.edu
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...
Paul Glasserman, Kyoung-Kuk Kim
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