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Fast strong approximation Monte Carlo schemes for stochastic volatility models 

Authors: Christian Kahl ab; Peter Jaumlckel a
Affiliations:   a Quantitative Analytics Group, ABN AMRO, London EC2M 4AA, UK
b Department of Mathematics, University of Wuppertal, Wuppertal, D-42119, Germany
DOI: 10.1080/14697680600841108
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 6, Issue 6 December 2006 , pages 513 - 536
Formats available: HTML (English) : PDF (English)
Article Requests: Order Reprints : Request Permissions

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