Efficient Simulation of the Heston Stochastic Volatility Model

@article{Andersen2007EfficientSO,
  title={Efficient Simulation of the Heston Stochastic Volatility Model},
  author={Leif Andersen},
  journal={Risk Management},
  year={2007}
}
Stochastic volatility models are increasingly important in practical derivatives pricing applications, yet relatively little work has been undertaken in the development of practical Monte Carlo simulation methods for this class of models. This paper considers several new algorithms for time-discretization and Monte Carlo simulation of Heston-type stochastic volatility models. The algorithms are based on a careful analysis of the properties of affine stochastic volatility diffusions, and are… Expand
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