Exact simulation of the 3/2 model

Baldeaux, JF

Exact simulation of the 3/2 model

Baldeaux, JF

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Publisher:: World Scientific Publishing Co
Publication Type:: Journal Article
Citation:: International Journal of Theoretical and Applied Finance, 2012, 15 (5), pp. 1 - 13
Issue Date:: 2012-01

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Field	Value	Language
dc.contributor.author	Baldeaux, JF	en_US
dc.date.issued	2012-01	en_US
dc.identifier.citation	International Journal of Theoretical and Applied Finance, 2012, 15 (5), pp. 1 - 13	en_US
dc.identifier.issn	0219-0249	en_US
dc.identifier.uri	http://hdl.handle.net/10453/18888
dc.description.abstract	This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, we adapt the Broadie-Kaya algorithm for the simulation of affine processes to the 3/2 model. We also discuss variance reduction techniques and find that conditional Monte Carlo techniques combined with quasi-Monte Carlo point sets result in significant variance reductions.	en_US
dc.publisher	World Scientific Publishing Co	en_US
dc.relation.ispartof	International Journal of Theoretical and Applied Finance	en_US
dc.relation.isbasedon	10.1016/j.physa.2014.06.012	en_US
dc.subject.classification	Finance	en_US
dc.title	Exact simulation of the 3/2 model	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	15	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	5	en_US
pubs.volume	15	en_US

Abstract:

This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, we adapt the Broadie-Kaya algorithm for the simulation of affine processes to the 3/2 model. We also discuss variance reduction techniques and find that conditional Monte Carlo techniques combined with quasi-Monte Carlo point sets result in significant variance reductions.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/18888