Browsing FGV EMAp - Escola de Matemática Aplicada by Title "On the numerical methods for the Heston model"

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    • On the numerical methods for the Heston model 

      Teixeira, Fernando Ormonde
      2017-09-29
      In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, ...