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- W3087024424 abstract "An explicit weak solution for the 3/2 stochastic volatility model is obtained and used to develop a simulation algorithm for option pricing purposes. The 3/2 model is a non-affine stochastic volatility model whose variance process is the inverse of a CIR process. This property is exploited here to obtain an explicit weak solution, similarly to Kouritzin (2018). A simulation algorithm based on this solution is proposed and tested via numerical examples. The performance of the resulting pricing algorithm is comparable to that of other popular simulation algorithms." @default.
- W3087024424 created "2020-09-25" @default.
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- W3087024424 date "2021-01-01" @default.
- W3087024424 modified "2023-09-27" @default.
- W3087024424 title "Explicit Solution Simulation Method for the 3/2 Model" @default.
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- W3087024424 doi "https://doi.org/10.1007/978-3-030-85325-9_8" @default.
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