A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

R Lord, R Koekkoek, Dick van Dijk

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

193 Citations (Scopus)

Research programs

@article{7b177447162a47f3934b0cd3a773f322,

title = "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models",

author = "R Lord and R Koekkoek and \{van Dijk\}, Dick",

year = "2010",

doi = "10.1080/14697680802392496",

language = "English",

volume = "10",

pages = "177--194",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor \& Francis Ltd",

number = "2",

}