The Heston stochastic-local volatility model: Efficient Monte Carlo simulation

Research output: Contribution to journal › Article › Academic › peer-review

Original language	Undefined/Unknown
Journal	International Journal of Theoretical and Applied Finance
DOIs	https://doi.org/10.1142/S0219024914500459
Publication status	Published - 2014
Externally published	Yes

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title = "The Heston stochastic-local volatility model: Efficient Monte Carlo simulation",

author = "\{Van Der Stoep\}, A.W. and L.A. Grzelak and C.W. Oosterlee",

year = "2014",

doi = "10.1142/S0219024914500459",

language = "Undefined/Unknown",

journal = "International Journal of Theoretical and Applied Finance",

issn = "0219-0249",

publisher = "World Scienctific",

}

TY - JOUR

T1 - The Heston stochastic-local volatility model: Efficient Monte Carlo simulation

AU - Van Der Stoep, A.W.

AU - Grzelak, L.A.

AU - Oosterlee, C.W.

PY - 2014

Y1 - 2014

UR - https://www.scopus.com/pages/publications/84929359163

U2 - 10.1142/S0219024914500459

DO - 10.1142/S0219024914500459

M3 - Article

SN - 0219-0249

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

ER -