{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,24]],"date-time":"2026-03-24T12:29:19Z","timestamp":1774355359694,"version":"3.50.1"},"reference-count":0,"publisher":"Walter de Gruyter GmbH","issue":"3","funder":[{"name":"National Science and Engineering Research Council of Canada"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2015,9,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>The Heston model is appealing as it possesses a stochastic volatility term as well as semi-closed formulas for pricing European options. Unfortunately, few simulation schemes for this model can handle the violation of the Feller Condition.\nAn algorithm based on the exact scheme of Broadie and Kaya to simulate price paths under the Heston model is introduced. In order to increase the speed of their exact method, we use a gamma approximation. According to Stewart, Strijbosch, Moors and Batenburg, it is possible to approximate a complex gamma convolution (similar to the representation given by Glasserman and Kim) by a simple moment-matched gamma distribution.\nWe also perform a review of popular simulation schemes for the Heston model and validate our approach through a simulation study.\nThe gamma approximation scheme appears to yield small biases on European and Asian option prices when compared to the most popular schemes.<\/jats:p>","DOI":"10.1515\/mcma-2015-0105","type":"journal-article","created":{"date-parts":[[2015,9,1]],"date-time":"2015-09-01T17:00:34Z","timestamp":1441126834000},"page":"205-231","source":"Crossref","is-referenced-by-count":8,"title":["Simulating from the Heston model: A gamma approximation scheme"],"prefix":"10.1515","volume":"21","author":[{"given":"Jean-Fran\u00e7ois","family":"B\u00e9gin","sequence":"first","affiliation":[{"name":"Department of Decision Sciences, HEC Montr\u00e9al, 3000 C\u00f4te Sainte Catherine Road, Montr\u00e9al, Qu\u00e9bec, Canada"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Myl\u00e8ne","family":"B\u00e9dard","sequence":"additional","affiliation":[{"name":"Department of Mathematics and Statistics, Universit\u00e9 de Montr\u00e9al, 2900 \u00c9douard-Montpetit Blvd., Montr\u00e9al, Qu\u00e9bec, Canada"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Patrice","family":"Gaillardetz","sequence":"additional","affiliation":[{"name":"Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Blvd. West, Montr\u00e9al, Qu\u00e9bec, Canada"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2015,9,1]]},"container-title":["Monte Carlo Methods and Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2015-0105\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2015-0105\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,1]],"date-time":"2023-04-01T22:39:51Z","timestamp":1680388791000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2015-0105\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,9,1]]},"references-count":0,"journal-issue":{"issue":"3","published-online":{"date-parts":[[2015,9,1]]},"published-print":{"date-parts":[[2015,9,1]]}},"alternative-id":["10.1515\/mcma-2015-0105"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2015-0105","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"value":"0929-9629","type":"print"},{"value":"1569-3961","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,9,1]]}}}