Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model

DOI10.1137/23M1595102MaRDI QIDQ6498604zbMATH OpenFDO

Authors Riccardo Brignone

Publication date 7 May 2024

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

characteristic functionsimulationoption pricingstochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cites work

• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
• A novel pricing method for European options based on Fourier-cosine series expansions
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Exact simulation of the 3/2 model
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
• Exact simulation of the SABR model
• Full and fast calibration of the Heston stochastic volatility model
• Moments of integrated exponential Lévy processes and applications to Asian options pricing
• Multiscale Stochastic Volatility Asymptotics
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Precise option pricing by the COS method -- how to choose the truncation range
• Smiles \& smirks: volatility and leverage by jumps
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Stock price distributions with stochastic volatility: an analytic approach
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• The Fourier-series method for inverting transforms of probability distributions
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well

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