Exact simulation of the Wishart multidimensional stochastic volatility model
Chulmin Kang, Wanmo Kang, Jong Mun Lee
| Year of publication: |
September-October 2017
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|---|---|
| Authors: | Kang, Chulmin ; Kang, Wanmo ; Lee, Jong Mun |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 65.2017, 5, p. 1190-1206
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| Subject: | Wishart processes | stochastic volatility | Monte-Carlo method | exact simulation | Simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2017.1636 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011757326