Simulation of stochastic volatility models via operator splitting schemes

By Lilian Hu, Congxin He, Yue Kuen Kwok, Gongqiu Zhang

Published 2026-09-18

Everscope rating

1522.2

Relevance to quantitative trading

8 / 10

Implementation complexity

4 / 10

Reproducibility

4 / 5

About this paper

Methodology: Strang Second-Order Operator Splitting. Problem types: Option Pricing, Monte Carlo Simulation, Numerical Solution of SDEs, Risk Management, Derivative Pricing, Path Dependent Option Pricing, VIX Derivative Pricing.

arXiv:2609.21301 · Paper rankings

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