Simulation of Multifactor Stochastic Volatility
The article suggests a new simulation scheme for the multifactor OrnsteinUhlenbeck stochastic volatility model that is simpler to use, quicker to run, and offers better error control.
Featured in No. 31 on 3 Jan 2024 · 12 days after release
- Released
- 22 Dec 2023
- First featured
- No. 31 · 3 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4673452
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