Exact simulation of the 3/2 model
jan Baldeaux
| Year of publication: |
2012
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|---|---|
| Authors: | Baldeaux, jan |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 5, p. 1-13
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| Subject: | Stochastic volatility model | 3/2 model | exact simulation | variance reduction techniques | Simulation | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009672611