Exact simulation scheme for the Ornstein–Uhlenbeck driven stochastic volatility model with the Karhunen–Lo` eve expansions
By Jaehyuk Choi
Published 2024-02-14
- Everscope rating
- 1590.3
- Relevance to quantitative trading
- 8 / 10
- Implementation complexity
- 7 / 10
- Reproducibility
- 4 / 5
About this paper
Methodology: Karhunen–Lo` eve expansions. Problem types: Simulation, Option Pricing.
arXiv:2402.09243
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