Posted by
Luigi Ballabio on
Oct 02, 2009; 3:20pm
URL: http://quantlib.414.s1.nabble.com/Heston-and-ExactVariance-tp13047p13049.html
On Thu, 2009-10-01 at 13:22 +0200, Klaus Spanderen wrote:
> your are right, exact variance is not the exact simulation alogrithm
> as proposed by Broadie and Kaya. "exact variance" here means that the
> variance part of the Heston process is sampled from the "correct"
> non-central chi square distribution.
>
> May be we should change the name of the scheme. Do you have a better
> one?
Quick note: if the two of you are going to come up with a better name,
you better do it during next week. After that, I'm starting to package
the 0.9.9 release and I'm freezing the interfaces, so if it's still
called exact variance it stays that way.
Luigi
--
Anyone who says he can see through women is missing a lot.
-- Groucho Marx
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