The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
DOI10.1155/2021/4050722zbMATH Open1486.65011OpenAlexW3217583608MaRDI QIDQ2068271FDOQ2068271
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)
Full work available at URL: https://doi.org/10.1155/2021/4050722
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Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Stochastic calculus for finance. II: Continuous-time models.
- Wishart processes
- A multifactor volatility Heston model
- Continuous Time Wishart Process for Stochastic Risk
- Affine diffusions and related processes: simulation, theory and applications
- 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
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model
- European option pricing under Wishart processes
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