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"Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model."

Chenxu Li, Linjia Wu (2019)

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DOI: 10.1016/J.EJOR.2018.11.057

access: closed

type: Journal Article

metadata version: 2020-02-21

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Chenxu Li, Linjia Wu:
Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model. Eur. J. Oper. Res. 275(2): 768-779 (2019)

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