Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
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Cited in
(22)- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Smiles \& smirks: volatility and leverage by jumps
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
- A transform-based method for pricing Asian options under general two-dimensional models
- On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- SABR equipped with AI wings
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
- Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
- Exact simulation of the Hull and White stochastic volatility model
- Efficient pricing and greeks estimation for variable annuities under a multivariate OUSV model
- Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
- Analytics on conditional moment generating functions of stochastic volatility models
- Fifty years at the interface between financial modeling and operations research
- Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
- Fifty years of stochastic simulation: where we are and where we need to go
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