Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
type: Item
instance of: scholarly article
title: Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
zbMATH Open document ID: 1431.91401
author: Chen-Xu Li
author: Linjia Wu
published in: European Journal of Operational Research
publication date: 2019-01-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7007144
zbMATH Keywords: simulation
zbMATH Keywords: stochastic volatility
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: Laplace transform
zbMATH Keywords: analytical extension
MaRDI profile type: Publication
full work available at URL: j.ejor.2018.11.057
OpenAlex ID: W2902981304
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DOI: 10.1016/J.EJOR.2018.11.057
description: scientific article; zbMATH DE number 7007144