Exact simulation of the 3/2 model (Q3166709)
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scientific article
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| default for all languages | No label defined |
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| English | Exact simulation of the 3/2 model |
scientific article |
Statements
EXACT SIMULATION OF THE 3/2 MODEL (English)
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15 October 2012
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stochastic volatility model
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3/2 model
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exact simulation
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variance reduction techniques
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0.83034348487854
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0.7671520709991455
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0.7427549362182617
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0.7381567358970642
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