most citedConstructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives

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q-fin.PR2025

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing

Mara Kalicanin Dimitrov, Marko Dimitrov, Anatoliy Malyarenko +1

Recently, an Almost-Exact Simulation (AES) scheme was introduced for the Heston stochastic volatility model and tested for European option pricing. This paper extends this scheme f…