Calibration and advanced simulation schemes for the Wishart stochastic volatility model
G. La Bua and D. Marazzina
| Year of publication: |
2019
|
|---|---|
| Authors: | La Bua, Gaetano ; Marazzina, Daniele |
| Subject: | Calibration | Efficient numerical simulation scheme | Monte Carlo | Wishart process | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1550265 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194737