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"Gamma expansion of the Heston stochastic volatility model."

Paul Glasserman, Kyoung-Kuk Kim (2011)

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DOI: 10.1007/S00780-009-0115-Y

access: closed

type: Journal Article

metadata version: 2020-07-22

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  - https://dblp.org/rec/journals/fs/GlassermanK11
Paul Glasserman, Kyoung-Kuk Kim:
Gamma expansion of the Heston stochastic volatility model. Finance Stochastics 15(2): 267-296 (2011)

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