Exact simulation of the Hull and White stochastic volatility model

DOI10.1016/j.jedc.2024.104861MaRDI QIDQ6572645

Luca Gonzato, Riccardo Brignone

Publication date: 16 July 2024

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

Laplace transformssimulationstochastic volatilityoption pricing

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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