2 papers
q-fin.CP2020
Explicit solution simulation method for the 3/2 model
Iro René Kouarfate, Michael A. Kouritzin, Anne MacKay
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…
q-fin.CP2019
Branching Particle Pricers with Heston Examples
Michael A. Kouritzin, Anne MacKay
The use of sequential Monte Carlo within simulation for path-dependent option pricing is proposed and evaluated. Recently, it was shown that explicit solutions and importance sampl…