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q-fin.MF2024
Simulation of square-root processes made simple: applications to the Heston model
Eduardo Abi Jaber
We introduce a simple, efficient and accurate nonnegative preserving numerical scheme for simulating the square-root process. The novel idea is to simulate the integrated square-ro…
q-fin.MF2024
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
Eduardo Abi Jaber, Shaun, Li +1
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Schöbel-Zhu, one-factor B…