Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328): Difference between revisions
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Revision as of 19:24, 5 March 2024
scientific article; zbMATH DE number 7110451
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration and advanced simulation schemes for the Wishart stochastic volatility model |
scientific article; zbMATH DE number 7110451 |
Statements
Calibration and advanced simulation schemes for the Wishart stochastic volatility model (English)
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26 September 2019
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Wishart process
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calibration
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Monte Carlo
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efficient numerical simulation scheme
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