EXACT SIMULATION OF THE 3/2 MODEL

DOI10.1142/S021902491250032XzbMath1262.91114arXiv1105.3297MaRDI QIDQ3166709

Jan Baldeaux

Publication date: 15 October 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.3297

zbMATH Keywords

exact simulation; stochastic volatility model; variance reduction techniques; 3/2 model

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91B70: Stochastic models in economics

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