Exact simulation of the Hull and White stochastic volatility model
Riccardo Brignone, Luca Gonzato
| Year of publication: |
2024
|
|---|---|
| Authors: | Brignone, Riccardo ; Gonzato, Luca |
| Subject: | Laplace transforms | Option pricing | Simulation | Stochastic volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2024.104861 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050813