Explicit solution simulation method for the 3/2 model
DOI10.1007/978-3-030-85325-9_8zbMath1496.91094arXiv2009.09058OpenAlexW3087024424MaRDI QIDQ2080170
Michael A. Kouritzin, Iro René Kouarfate, Anne MacKay
Publication date: 7 October 2022
Full work available at URL: https://arxiv.org/abs/2009.09058
explicit solutionsstochastic volatilityoption pricingweak solutionsMonte Carlo simulations3/2 modelnon-affine volatility
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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