Coupling index and stocks

DOI10.1080/14697681003785959zbMath1278.91113arXiv0911.2834MaRDI QIDQ2869971

Mohamed Karim Sbai, Benjamin Jourdain

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.2834

zbMATH Keywords

stochastic volatility; Monte Carlo methods; numerical simulation; model calibration; equities; implied volatilities; correlation modelling

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91B70: Stochastic models in economics

91B82: Statistical methods; economic indices and measures

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