Efficient simulation schemes for pricing options under the Ornstein–Uhlenbeck driven stochastic volatility model

By Congxin He, Yue Kuen Kwok

Published 2026-09-18

Everscope rating

1968.3

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

4 / 5

About this paper

Methodology: Strang-Marchuk Operator Splitting Monte Carlo Simulation. Problem types: Optimization, Risk Management, Density Estimation, Structured Prediction.

arXiv:2609.21291 · Paper rankings

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