Explicit Solution Simulation Method for the 3/2 Model
نویسندگان
چکیده
An explicit weak solution for the 3/2 stochastic volatility model is obtained and used to develop a simulation algorithm option pricing purposes. The non-affine whose variance process inverse of CIR process. This property exploited here obtain an solution, similarly Kouritzin (2018). A based on this proposed tested via numerical examples. performance resulting comparable that other popular algorithms.
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ژورنال
عنوان ژورنال: Progress in probability
سال: 2021
ISSN: ['1050-6977', '2297-0428']
DOI: https://doi.org/10.1007/978-3-030-85325-9_8