Lord, R.

model scheme option function price heston model process heston approximation matrix correlation volatility value order section method condition result proof error variance convergence pricing truncation algorithm theorem example truncation scheme simulation chapter correlation matrix euler level discretisation matrice parameter moment slope equation problem number paper curvature formulation asset property strike square lemma rotation count algorithm logarithm table structure fourier factor figure interest discontinuitie solution affine asian simulation schemes choice change option price european finance stock price integration volatility model maturity curran yield eigenvector term structure correlation matrices arithmetic analysis approach distribution