In this talk, we consider the efficient simulation of asset prices for general stochastic localvolatility models, which include the Heston stochastic volatility model and the stochastic alphabeta rho (SABR) model as special cases. Our simulation algorithm is constructed based on a novelapplication of a continuous-time Markov chain (CTMC) approxi...
Creator:
Nguyen, Duy (Marist College)
Created:
2018-06-15
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.
