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FS
2011
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13 years 2 months ago
Gamma expansion of the Heston stochastic volatility model
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
WSC
2007
14 years 1 months ago
American option pricing under stochastic volatility: a simulation-based approach
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...
Arunachalam Chockalingam, Kumar Muthuraman