{"id":"https://openalex.org/W2465624924","doi":"https://doi.org/10.21314/jcf.2008.189","title":"Simple and efficient simulation of the Heston stochastic volatility model","display_name":"Simple and efficient simulation of the Heston stochastic volatility model","publication_year":2008,"publication_date":"2008-03-01","ids":{"openalex":"https://openalex.org/W2465624924","doi":"https://doi.org/10.21314/jcf.2008.189","mag":"2465624924"},"language":"en","primary_location":{"id":"doi:10.21314/jcf.2008.189","doi":"https://doi.org/10.21314/jcf.2008.189","is_oa":false,"landing_page_url":"https://doi.org/10.21314/jcf.2008.189","pdf_url":null,"source":{"id":"https://openalex.org/S165973286","display_name":"The Journal of Computational Finance","issn_l":"1460-1559","issn":["1460-1559","1755-2850"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Computational Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030799615","display_name":"Leif B. G. Andersen","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Leif Andersen","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5030799615"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":21.5782,"has_fulltext":false,"cited_by_count":260,"citation_normalized_percentile":{"value":0.99220289,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":98,"max":100},"biblio":{"volume":"11","issue":"3","first_page":"1","last_page":"42"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12056","display_name":"Markov Chains and Monte Carlo Methods","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.9120000004768372},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.6959999799728394},{"id":"https://openalex.org/keywords/monte-carlo-simulation","display_name":"Monte Carlo simulation","score":0.8730000257492065},{"id":"https://openalex.org/keywords/time-discretization","display_name":"time discretization","score":0.7649999856948853},{"id":"https://openalex.org/keywords/derivatives-pricing","display_name":"derivative pricing","score":0.8140000104904175},{"id":"https://openalex.org/keywords/computational-efficiency","display_name":"computational efficiency","score":0.824999988079071}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.87856125831604},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.7728879451751709},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6775396466255188},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5575277209281921},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5506394505500793},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.5449146628379822},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.5431053638458252},{"id":"https://openalex.org/C146880194","wikidata":"https://www.wikidata.org/wiki/Q61715222","display_name":"Computational finance","level":2,"score":0.5183411836624146},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.4762461483478546},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.45198217034339905},{"id":"https://openalex.org/C25915931","wikidata":"https://www.wikidata.org/wiki/Q4180825","display_name":"Stochastic simulation","level":2,"score":0.42787081003189087},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.42298009991645813},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.422384113073349},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2038537859916687},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0684337317943573},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.21314/jcf.2008.189","doi":"https://doi.org/10.21314/jcf.2008.189","is_oa":false,"landing_page_url":"https://doi.org/10.21314/jcf.2008.189","pdf_url":null,"source":{"id":"https://openalex.org/S165973286","display_name":"The Journal of Computational Finance","issn_l":"1460-1559","issn":["1460-1559","1755-2850"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Computational Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:rsk:journ0:2160370","doi":null,"is_oa":false,"landing_page_url":"https://www.risk.net/journal-of-computational-finance/2160370/simple-and-efficient-simulation-of-the-heston-stochastic-volatility-model","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2167129367","https://openalex.org/W7099489707","https://openalex.org/W3122566421","https://openalex.org/W2115869296","https://openalex.org/W2065741784","https://openalex.org/W2148642113","https://openalex.org/W2463460707","https://openalex.org/W2188639880","https://openalex.org/W4309650750","https://openalex.org/W7095131718"],"abstract_inverted_index":{"ABSTRACT":[0],"Stochastic":[1],"volatility":[2,48,64],"models":[3],"are":[4,52,67],"increasingly":[5],"important":[6],"in":[7,19,92],"practical":[8,23],"derivatives":[9],"pricing":[10],"applications,":[11],"yet":[12],"relatively":[13],"little":[14],"work":[15],"has":[16],"been":[17],"undertaken":[18],"the":[20,59,82,88,93],"development":[21],"of":[22,31,45,58,61,87],"Monte":[24,42],"Carlo":[25,43],"simulation":[26,44,89],"methods":[27],"for":[28,39],"this":[29],"class":[30],"models.":[32,49],"This":[33],"paper":[34,94],"considers":[35],"several":[36],"new":[37],"algorithms":[38,51],"time-discretization":[40],"and":[41,66,69,73,85],"Heston-type":[46],"stochastic":[47,63],"The":[50],"based":[53],"on":[54,76],"a":[55],"careful":[56],"analysis":[57],"properties":[60],"affine":[62],"diffusions,":[65],"straightforward":[68],"quick":[70],"to":[71],"implement":[72],"execute.":[74],"Tests":[75],"realistic":[77],"model":[78],"parameterizations":[79],"reveal":[80],"that":[81],"computational":[83],"efficiency":[84],"robustness":[86],"schemes":[90],"proposed":[91],"compare":[95],"favorably":[96],"with":[97],"existing":[98],"methods.":[99]},"counts_by_year":[{"year":2026,"cited_by_count":11},{"year":2025,"cited_by_count":11},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":17},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":12},{"year":2020,"cited_by_count":12},{"year":2019,"cited_by_count":15},{"year":2018,"cited_by_count":16},{"year":2017,"cited_by_count":16},{"year":2016,"cited_by_count":16},{"year":2015,"cited_by_count":29},{"year":2014,"cited_by_count":22},{"year":2013,"cited_by_count":14},{"year":2012,"cited_by_count":13}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-07-22T00:00:00"}