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Proceedings of the 2004 Winter Simulation Conference, 2004.
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the 'Greeks,' under Heston's stochastic volatility model and some variants of it which include jumps in the price and variance processes. We use pathwise and likelihood ratio approaches together with the exact simulation method of Broadie and Kaya (2004) to generate unbiased estimates of option price derivatives in these models. By appropriately conditioning on the path generated by the variance anddoi:10.1109/wsc.2004.1371506 fatcat:c5vsowxlkffdhh3n5p2wsgkgmq