EXACT SIMULATION OF THE 3/2 MODEL

DOI10.1142/S021902491250032XzbMath1262.91114arXiv1105.3297MaRDI QIDQ3166709

Jan Baldeaux

Publication date: 15 October 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.3297

zbMATH Keywords

exact simulationstochastic volatility modelvariance reduction techniques3/2 model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70)

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