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

From MaRDI portal
m rollbackEdits.php mass rollback
Tag: Rollback
Set OpenAlex properties.
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.ejor.2018.11.057 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2902981304 / rank
 
Normal rank

Revision as of 17:43, 21 March 2024

scientific article
Language Label Description Also known as
English
Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
scientific article

    Statements

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

    Identifiers