Remmert Koekkoek

Credit Suisse

VP Dutch Coverage

CRTI 4

P.O. Box

Zurich, CH-8070

Switzerland

SCHOLARLY PAPERS

1

DOWNLOADS
Rank 24,258

SSRN RANKINGS

Top 24,258

in Total Papers Downloads

2,276

SSRN CITATIONS
Rank 20,936

SSRN RANKINGS

Top 20,936

in Total Papers Citations

22

CROSSREF CITATIONS

24

Scholarly Papers (1)

1.

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Tinbergen Institute Discussion Paper No. 06-046/4
Number of pages: 30 Posted: 19 May 2006 Last Revised: 20 Mar 2008
Roger Lord, Remmert Koekkoek and Dick J. C. van Dijk
Cardano Risk Management, Credit Suisse and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 2,276 (6,988)
Citation 56

Abstract:

Loading...

Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour