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"Simulating from the Heston model: A gamma approximation scheme."

Jean-François Bégin, Mylène Bédard, Patrice Gaillardetz (2015)

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DOI: 10.1515/MCMA-2015-0105

access: closed

type: Journal Article

metadata version: 2022-06-23

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Jean-François Bégin, Mylène Bédard, Patrice Gaillardetz:
Simulating from the Heston model: A gamma approximation scheme. Monte Carlo Methods Appl. 21(3): 205-231 (2015)

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