Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
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Publication:1713775
DOI10.1016/j.ejor.2018.11.057zbMath1431.91401OpenAlexW2902981304MaRDI QIDQ1713775
Publication date: 28 January 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2018.11.057
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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