Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.ejor.2018.11.057 / rank
 
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Latest revision as of 23:39, 17 July 2024

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Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
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    Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (English)
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    28 January 2019
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    simulation
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    stochastic volatility
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    Ornstein-Uhlenbeck process
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    Laplace transform
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    analytical extension
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