Chi-square simulation of the CIR process and the Heston model

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

Original language	English
Article number	1350014
Number of pages	38
Journal	International Journal of Theoretical and Applied Finance
Volume	16
Issue number	3
DOIs	https://doi.org/10.1142/S0219024913500143
Publication status	Published - May 2013

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@article{4f1908961f674f9dafa9ea68cda1a165,

title = "Chi-square simulation of the CIR process and the Heston model",

author = "Malham, {Simon John} and Anke Wiese",

year = "2013",

month = may,

doi = "10.1142/S0219024913500143",

language = "English",

volume = "16",

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

issn = "0219-0249",

publisher = "World Scientific Publishing",

number = "3",

}

TY - JOUR

T1 - Chi-square simulation of the CIR process and the Heston model

AU - Malham, Simon John

AU - Wiese, Anke

PY - 2013/5

Y1 - 2013/5

U2 - 10.1142/S0219024913500143

DO - 10.1142/S0219024913500143

M3 - Article

SN - 0219-0249

VL - 16

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 3

M1 - 1350014

ER -