Calibration and advanced simulation schemes for the Wishart stochastic volatility model

G. La Bua and D. Marazzina

Quantitative Finance, 2019, vol. 19, issue 6, 997-1016

Abstract: In this article, we deal with calibration and Monte Carlo simulation of the Wishart stochastic volatility model. Despite the analytical tractability of the considered model, being of affine type, the implementation of Wishart-based stochastic volatility models poses non-trivial challenges from a numerical point of view. The goal of this article is to overcome these problems providing efficient numerical schemes for Monte Carlo simulations. Moreover, a fast and accurate calibration procedure is proposed.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:19:y:2019:i:6:p:997-1016

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DOI: 10.1080/14697688.2018.1550265

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