Exact simulation of the 3/2 model
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Publication:3166709
Abstract: This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, we adapt the Broadie-Kaya algorithm for the simulation of affine processes to the 3/2 model. We also discuss variance reduction techniques and find that conditional Monte Carlo techniques combined with quasi-Monte Carlo point sets result in significant variance reductions.
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Cited in
(15)- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
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- A transform-based method for pricing Asian options under general two-dimensional models
- Exact simulation of the Hull and White stochastic volatility model
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