.png){kind=icon}
.png){kind=icon}
Return
Full calibration, fast simulation, and exotic options pricing under the Ornstein–Uhlenbeck driven stochastic volatility model
.png){kind=icon}
OA
AI
R
C
DOI：10.1016/j.ejor.2026.08.010.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
• We propose a full and fast calibration algorithm for the OUSV model. • We propose a fast and theoretically motivated low-bias simulation scheme for the OUSV model. • We propose new and efficient techniques for pricing Asian and barrier options under the OUSV model. • OUSV model is a better compromise between realistic model assumptions and computational tractability than the Heston model.
Keywords:
C63
G12
G13
Finance
Model calibration
Exotic options
Financial engineering
Simulation
Journal
IF:
6
Papers:
2.2W
Citations:
6.4W
Organization
Cited Papers