Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775)
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scientific article; zbMATH DE number 7007144
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model |
scientific article; zbMATH DE number 7007144 |
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Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (English)
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28 January 2019
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simulation
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stochastic volatility
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Ornstein-Uhlenbeck process
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Laplace transform
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analytical extension
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