Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions

Fuente: arXiv

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Bibliographic Details
Main Author:	Choi, Jaehyuk
Format:	Preprint
Published:	2024
Subjects:	Computational Finance Mathematical Finance Pricing of Securities
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2402.09243