Exact Simulation of Wishart Multidimensional Stochastic Volatility Model

Chulmin Kang and Wanmo Kang

Papers from arXiv.org

Abstract: In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model, which was recently introduced by Da Fonseca et al. \cite{DGT08}. Our method is based onanalysis of the conditional characteristic function of the log-price given volatility level. In particular, we found an explicit expression for the conditional characteristic function for the Heston model. We perform numerical experiments to demonstrate the performance and accuracy of our method. As a result of numerical experiments, it is shown that our new method is much faster and reliable than Euler discretization method.

Date: 2013-09
New Economics Papers: this item is included in nep-cmp and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://arxiv.org/pdf/1309.0557 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1309.0557

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().