Efficient simulation of a multi-factor stochastic volatility model
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference10 articles.
1. Multiscale stochastic volatility asymptotics;Fouque;SIAM Journal on Multiscale Modeling and Simulation,2004
2. Derivatives in Financial Markets with Stochastic Volatility;Fouque,2000
3. Peter Christoffersen, Steven L. Heston, Kris Jacobs, The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well, 2009. Available at SSRN: http://ssrn.com/abstract=961037.
4. Variance reduction for monte carlo methods to evaluate option prices under multi-factor stochastic volatility models;Fouque;Quantitative Finance,2004
5. Short time-scale in SP500 volatility;Fouque;Journal of Computational Finance,2003
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