Exact simulation of the Wishart multidimensional stochastic volatility model

DOI10.1287/OPRE.2017.1636MaRDI QIDQ6828597zbMATH OpenFDO

Authors Chulmin Kang, Wanmo Kang, Jong Mun Lee

Publication date 15 December 2017

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2017.1636

zbMATH Keywords

exact simulationMonte-Carlo methodstochastic volatilityWishart processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Cited in

(7)

• Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
• Analytics on conditional moment generating functions of stochastic volatility models
• Partial observability of implied volatility matrices: identification and covolatilities filtering
• Commodity options pricing under Wishart stochastic volatility model equipped with jump process: model calibration by an optimized neural network
• Fifty years at the interface between financial modeling and operations research
• Multivariate additive subordination with applications in finance
• Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions

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