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 |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 6, p. 997-1016
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| 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