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EXACT SIMULATION OF THE 3/2 MODEL - MaRDI portal

EXACT SIMULATION OF THE 3/2 MODEL (Q3166709)

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EXACT SIMULATION OF THE 3/2 MODEL
scientific article

    Statements

    title
    EXACT SIMULATION OF THE 3/2 MODEL (English)
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    author
    Jan Baldeaux
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    publication date
    15 October 2012
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    zbMATH Keywords
    stochastic volatility model
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    3/2 model
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    exact simulation
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    variance reduction techniques
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    Identifiers

    zbMATH DE Number
    6093588
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    arXiv ID
    1105.3297
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