caa a22 4500 445363339 CHVBK 20180317142922.0 cr unu---uuuuu 170323e20110601xx s 000 0 eng 10.1007/s00780-009-0115-y doi (NATIONALLICENCE)springer-10.1007/s00780-009-0115-y Gamma expansion of the Heston stochastic volatility model [Elektronische Daten] [Paul Glasserman, Kyoung-Kuk Kim] We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular interest is the integral of the variance process over an interval, conditional on the level of the variance at the endpoints. We give an explicit representation of this quantity in terms of infinite sums and mixtures of gamma random variables. The increments of the variance process are themselves mixtures of gamma random variables. The representation of the integrated conditional variance applies the Pitman-Yor decomposition of Bessel bridges. We combine this representation with the Broadie-Kaya exact simulation method and use it to circumvent the most time-consuming step in that method. Springer-Verlag, 2009 Stochastic volatility model nationallicence Monte Carlo methods nationallicence Glasserman Paul Graduate School of Business, Columbia University, 10027, New York, NY, USA aut Kim Kyoung-Kuk ISE Department, Korea Advanced Institute of Science and Technology, Daejeon, South Korea aut Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 267-296 0949-2984 15:2<267 2011 15 780 https://doi.org/10.1007/s00780-009-0115-y text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-009-0115-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Glasserman Paul Graduate School of Business, Columbia University, 10027, New York, NY, USA aut NATIONALLICENCE 700 1- Kim Kyoung-Kuk ISE Department, Korea Advanced Institute of Science and Technology, Daejeon, South Korea aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 267-296 0949-2984 15:2<267 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer