Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
DOI10.1080/14697688.2020.1861320zbMATH Open1479.91447OpenAlexW3126832240MaRDI QIDQ5014247FDOQ5014247
Authors: Yuji Shinozaki 
Publication date: 1 December 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1861320
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stochastic volatility modelcomputational financequasi-Monte Carlo methodterm-structure modelshort rate modelhigher-order discretization methodKLNV-scheme
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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Cited In (2)
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