Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model (Q6498604)
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scientific article; zbMATH DE number 7843968
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| 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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0.8865430355072021
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0.7419803738594055
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0.7392381429672241
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