Publication:2444649

DOI10.1016/j.spa.2013.02.011zbMath1338.60191arXiv1309.0557OpenAlexW1981482972MaRDI QIDQ2444649

Chulmin Kang, Wanmo Kang, Jong Mun Lee

Publication date: 10 April 2014

Published in: Stochastic Processes and their Applications, Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.0557

zbMATH Keywords

stochastic volatilitylinear functionalspositive semidefinite matricesexact simulationMonte-Carlo methodaffine Markov processesWishart processestransform formulae

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55)

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