The log-asset dynamic with Euler-Maruyama scheme under Wishart processes

DOI10.1155/2021/4050722MaRDI QIDQ2068271zbMATH OpenOpenAlexFDO

Authors Raphael Naryongo, Philip Ngare, Anthony Waititu

Publication date 19 January 2022

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/4050722

zbMATH Keywords

volatilitybi-Wishart processes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multifactor volatility Heston model
• Affine diffusions and related processes: simulation, theory and applications
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• Calibration and advanced simulation schemes for the Wishart stochastic volatility model
• Continuous Time Wishart Process for Stochastic Risk
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
• European option pricing under Wishart processes
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• The truncated Euler-Maruyama method for stochastic differential equations
• Wishart processes

Cited in

(2)

• Calibration and advanced simulation schemes for the Wishart stochastic volatility model
• European option pricing under Wishart processes

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