Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
From MaRDI portal
Publication:6498604
DOI10.1137/23M1595102MaRDI QIDQ6498604FDOQ6498604
Authors: Riccardo Brignone 
Publication date: 7 May 2024
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70) Numerical methods for discrete and fast Fourier transforms (65T50)
Cites Work
- A novel pricing method for European options based on Fourier-cosine series expansions
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Multiscale Stochastic Volatility Asymptotics
- Stock price distributions with stochastic volatility: an analytic approach
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- The Fourier-series method for inverting transforms of probability distributions
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
- Full and fast calibration of the Heston stochastic volatility model
- Exact simulation of the SABR model
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
- Exact simulation of the 3/2 model
- Smiles \& smirks: volatility and leverage by jumps
- Precise option pricing by the COS method -- how to choose the truncation range
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
This page was built for publication: Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6498604)
