Simulating from the Heston model: A gamma approximation scheme.
Jean-François BéginMylène BédardPatrice GaillardetzPublished in: Monte Carlo Methods Appl. (2015)
Keyphrases
- data sets
- neural network
- statistical model
- mathematical model
- probabilistic model
- optimization scheme
- analytical model
- learning scheme
- conceptual model
- closed form
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- computational model
- parameter estimation
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- information retrieval
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