Markov Chain Monte Carlo preprint service
Dec 17
2009
2009
MCMC resource - http://www.statslab.cam.ac.uk/~mcmc/
Heston Model – Important articles
Sep 11
2009
2009
M.H. Vellekoop, J.W. Nieuwenhuis – A Tree-based Method to price American Options in the Heston Model
Leif B.G. Andersen - Efficient Simulation of the Heston Stochastic Volatility Model
Dietmar P.J. Leisen – Stock Evolution under Stochastic Volatility: A Discrete Approach (Yet another tree approach)
Tino Kluge – Pricing derivatives in stochastic volatility models using the finite difference method
Roelof Sheppard - Pricing Equity Derivatives under Stochastic Volatility : A Partial Differential Equation Approach
Discrete Approach
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