Marc Geha

Princeton University - Bendheim Center for Finance

26 Prospect Avenue

Princeton, NJ 08540

United States

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Large and moderate deviations for importance sampling in the Heston model

Number of pages: 32 Posted: 02 Nov 2021

Zan Zuric, Antoine (Jack) Jacquier and Marc Geha

Kaiju Capital Management, Imperial College London and Princeton University - Bendheim Center for Finance

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