Full calibration, fast simulation, and exotic options pricing under the Ornstein–Uhlenbeck driven stochastic volatility model

Riccardo Brignone

doi:10.1016/j.ejor.2026.08.010

Full calibration, fast simulation, and exotic options pricing under the Ornstein–Uhlenbeck driven stochastic volatility model

2026-08-10

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Riccardo Brignone *

C

Carlo Sgarra

DOI：10.1016/j.ejor.2026.08.010

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• 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

Full calibration, fast simulation, and exotic options pricing under the Ornstein–Uhlenbeck driven stochastic volatility model

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