Work

Simple and efficient simulation of the Heston stochastic volatility model

Year: 2008

Type: article

Source: The Journal of Computational Finance

DOI: 10.21314/jcf.2008.189

Author: Leif Andersen

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2465624924

FWCI: 21.58

Cites:

Cited by: 260

Related to: 10