Exact simulation of the 3/2 model (Q3166709)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6093588
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Exact simulation of the 3/2 model |
scientific article; zbMATH DE number 6093588 |
Statements
EXACT SIMULATION OF THE 3/2 MODEL (English)
0 references
15 October 2012
0 references
stochastic volatility model
0 references
3/2 model
0 references
exact simulation
0 references
variance reduction techniques
0 references
0 references
0 references
0 references
0.83034348487854
0 references
0.7671520709991455
0 references
0.7427549362182617
0 references
0.7381567358970642
0 references
