A Simple and Exact Simulation Approach to the Heston Model
In this paper we will propose a simple approach to simulating Heston model
efficiently and accurately. All existing simulation schemes so far directly
work with the mean-reverting square root process of the variance in Heston
model, instead we transform the variance to an equivalent volatility which
follows a mean-reverting Ornstein-Uhlenbeck process….
Key words: Simulation, Stochastic volatility, Heston model, Mean-reverting
squared root process, Mean-reverting Ornstein-Uhlenbeck process, Option
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