Calibration and advanced simulation schemes for the Wishart stochastic volatility model

DOI10.1080/14697688.2018.1550265zbMath1420.91515OpenAlexW2909429822MaRDI QIDQ5234328

Gaetano La Bua, Daniele Marazzina

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11311/1076622

zbMATH Keywords

Monte CarlocalibrationWishart processefficient numerical simulation scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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