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"Simulation schemes for the Heston model with Poisson conditioning."

Jaehyuk Choi, Yue Kuen Kwok (2024)

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DOI: 10.1016/J.EJOR.2023.10.048

access: closed

type: Journal Article

metadata version: 2024-01-13

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Jaehyuk Choi, Yue Kuen Kwok:
Simulation schemes for the Heston model with Poisson conditioning. Eur. J. Oper. Res. 314(1): 363-376 (2024)

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