3 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.CP2024
Efficient and accurate simulation of the stochastic-alpha-beta-rho model
Jaehyuk Choi, Lilian Hu, Yue Kuen Kwok
We propose an efficient, accurate and reliable simulation scheme for the stochastic-alpha-beta-rho (SABR) model. The two challenges of the SABR simulation lie in sampling (i) integ…
q-fin.CP2024★ 3 cited
Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
Jaehyuk Choi
This study proposes a fast exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model. With the Karhunen-Loève expansions, the stochastic volatility path…