Gamma expansion of the Heston stochastic volatility model

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dc.contributor.authorGlasserman, Pko
dc.contributor.authorKim, Kyoung-Kukko
dc.date.accessioned2013-03-11T01:43:33Z-
dc.date.available2013-03-11T01:43:33Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2011-06-
dc.identifier.citationFINANCE AND STOCHASTICS, v.15, no.2, pp.267 - 296-
dc.identifier.issn0949-2984-
dc.identifier.urihttp://hdl.handle.net/10203/97951-
dc.description.abstractWe derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular interest is the integral of the variance process over an interval, conditional on the level of the variance at the endpoints. We give an explicit representation of this quantity in terms of infinite sums and mixtures of gamma random variables. The increments of the variance process are themselves mixtures of gamma random variables. The representation of the integrated conditional variance applies the Pitman-Yor decomposition of Bessel bridges. We combine this representation with the Broadie-Kaya exact simulation method and use it to circumvent the most time-consuming step in that method.-
dc.languageEnglish-
dc.publisherSPRINGER HEIDELBERG-
dc.subjectBESSEL DISTRIBUTION-
dc.subjectAMERICAN OPTIONS-
dc.subjectMONTE-CARLO-
dc.subjectSIMULATION-
dc.subjectSCHEMES-
dc.subjectTERM-
dc.titleGamma expansion of the Heston stochastic volatility model-
dc.typeArticle-
dc.identifier.wosid000290573800004-
dc.identifier.scopusid2-s2.0-79955943085-
dc.type.rimsART-
dc.citation.volume15-
dc.citation.issue2-
dc.citation.beginningpage267-
dc.citation.endingpage296-
dc.citation.publicationnameFINANCE AND STOCHASTICS-
dc.contributor.localauthorKim, Kyoung-Kuk-
dc.contributor.nonIdAuthorGlasserman, P-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorStochastic volatility model-
dc.subject.keywordAuthorMonte Carlo methods-
dc.subject.keywordPlusBESSEL DISTRIBUTION-
dc.subject.keywordPlusAMERICAN OPTIONS-
dc.subject.keywordPlusMONTE-CARLO-
dc.subject.keywordPlusSIMULATION-
dc.subject.keywordPlusSCHEMES-
dc.subject.keywordPlusTERM-
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