Concepedia

Efficient Simulation of the Heston Stochastic Volatility Model

Leif B. G. Andersen

SSRN Electronic Journal · 2007 · 180 citations · 29 references

DOIFull text

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Concepts

References

29

Numerical recipes in C

William H. Press, Saul A. Teukolsky, William T. Vetterling et al. · 1994 · 15.4K citations

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Continuous Univariate Distributions.

Yasuhiro Omori, Norman L. Johnson, S. Kotz et al. · Journal of the American Statistical Association · 1995 · 9.3K citations

, , +12

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations

, , +17