Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation

DOI10.1007/978-3-642-41095-6_1zbMath1308.91183OpenAlexW1339172MaRDI QIDQ2926208

Jan Baldeaux, Eckhard Platen

Publication date: 31 October 2014

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-41095-6_1

zbMATH Keywords

Monte Carlo methodsLie symmetryWishart processrisk-neutral pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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