Calibration and advanced simulation schemes for the Wishart stochastic volatility model

DOI10.1080/14697688.2018.1550265zbMath1420.91515OpenAlexW2909429822MaRDI QIDQ5234328

Gaetano La Bua, Daniele Marazzina

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11311/1076622

zbMATH Keywords

Monte CarlocalibrationWishart processefficient numerical simulation scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (5)

A new class of multidimensional Wishart-based hybrid models ⋮ European option pricing under Wishart processes ⋮ Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate ⋮ On the application of Wishart process to the pricing of equity derivatives: the multi-asset case ⋮ The log-asset dynamic with Euler-Maruyama scheme under Wishart processes

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