Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model

DOI10.1137/23m1595102MaRDI QIDQ6498604

Riccardo Brignone

Publication date: 7 May 2024

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

simulationstochastic volatilityoption pricingcharacteristic function

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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