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"A New Approach to Importance Sampling in Taylor's Stochastic Volatility Model."

Bruce Qiang Sun, Xinfu Chen, Ting-Ting Huang (2014)

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DOI: 10.1080/03610918.2012.709899

access: closed

type: Journal Article

metadata version: 2020-05-10

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Bruce Qiang Sun, Xinfu Chen, Ting-Ting Huang:
A New Approach to Importance Sampling in Taylor's Stochastic Volatility Model. Commun. Stat. Simul. Comput. 43(3): 580-596 (2014)

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