2013•SSRN Electronic JournalOpen access

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

Anthonie van der Stoep, Lech Aleksander Grzelak, Cornelis W. Oosterlee

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Key concepts: Stochastic volatility, Monte Carlo method, Local volatility, Heston model, Econometrics, Volatility (finance), Markov chain Monte Carlo, Statistical physics

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