BALDEAUX, JAN - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250032-1
This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, we adapt the Broadie-Kaya algorithm for the simulation of affine processes to the 3/2 model. We also discuss variance...