Exact simulation of the Hull and White stochastic volatility model

DOI10.1016/J.JEDC.2024.104861MaRDI QIDQ6572645zbMATH OpenFDO

Authors Riccardo Brignone, Luca Gonzato

Publication date 16 July 2024

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

simulationoption pricingstochastic volatilityLaplace transforms

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
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