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Exact simulation
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European journal of operational research : EJOR
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Operations research letters : a journal of INFORMS devoted to the rapid publication of concise contributions in operations research
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Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
Choi, Jaehyuk
- In:
Operations research letters : a journal of INFORMS …
60
(
2025
),
pp. 1-6
Persistent link: https://www.econbiz.de/10015359240
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Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
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