Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model (Q6498604)
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scientific article; zbMATH DE number 7843968
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model |
scientific article; zbMATH DE number 7843968 |
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Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model (English)
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7 May 2024
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simulation
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stochastic volatility
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characteristic function
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option pricing
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