Gamma expansion of the Heston stochastic volatility model.

Paul Glasserman Kyoung-Kuk Kim

Published in: Finance Stochastics (2011)

Keyphrases

theoretical framework
stochastic model
formal model
conceptual model
statistical model
probabilistic model
long term
multiscale
neural network
management system
em algorithm
high level
experimental data
machine learning
neural network model
simulation model
autoregressive
data sets