The Heston stochastic-local volatility model: efficient Monte Carlo simulation

AW van der Stoep, LA Grzelak, CW Oosterlee

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

35 Citations (Scopus)

Original language	English
Pages (from-to)	1-30
Number of pages	30
Journal	International Journal of Theoretical and Applied Finance
Volume	17
Issue number	7
DOIs	https://doi.org/10.1142/S0219024914500459
Publication status	Published - 2014

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title = "The Heston stochastic-local volatility model: efficient Monte Carlo simulation",

author = "{van der Stoep}, AW and LA Grzelak and CW Oosterlee",

year = "2014",

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language = "English",

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

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T1 - The Heston stochastic-local volatility model: efficient Monte Carlo simulation

AU - van der Stoep, AW

AU - Grzelak, LA

AU - Oosterlee, CW

PY - 2014

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U2 - 10.1142/S0219024914500459

DO - 10.1142/S0219024914500459

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VL - 17

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EP - 30

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

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