• Corpus ID: 117304431

Quasi-Monte Carlo methods for the Heston model

@inproceedings{Baldeaux2012QuasiMonteCM,
  title={Quasi-Monte Carlo methods for the Heston model},
  author={Jan Baldeaux and Dale O. Roberts},
  year={2012}
}
In this paper, we discuss the application of quasi-Monte Carlo methods to the Heston model. We base our algorithms on the Broadie-Kaya algorithm, an exact simulation scheme for the Heston model. As the joint transition densities are not available in closed-form, the Linear Transformation method due to Imai and Tan, a popular and widely applicable method to improve the effectiveness of quasi-Monte Carlo methods, cannot be employed in the context of path-dependent options when the underlying… 
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