Series Representation of conditional integral of the variance Process in the Heston Stochastic Volatility Model


We present a new series representation for the time integral of the variance process of the Heston stochastic volatility model conditional on its values at the endpoints through the decomposition of the Bessel bridges and... [ view full abstract ]


  1. Jiaqi Shen (Heriot-Watt University)
  2. Anke Wiese (Heriot-Watt University)
  3. Simon J.A. Malham (Heriot-Watt University)

Topic Areas

Asymptotics , Numerical Methods , Stochastic Volatility


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