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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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The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Choi, Jaehyuk; Wu, Lixin - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628256
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A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
Choi, Jaehyuk; Wu, Lixin - In: Quantitative finance 21 (2021) 7, pp. 1083-1086
Persistent link: https://www.econbiz.de/10012588019