339

Date | Dec 27, 2022 |
---|---|

Speaker | 최재혁 |

Dept. | Peking University HSBC Business School |

Room | 27-325 |

Time | 17:00-18:00 |

This study proposes a faster alternative to Li and Wu (2019), Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model, European Journal of Operational Research, 275(2), 768–779. With the Karhunen-Loève expansions, the stochastic volatility following the Ornstein-Uhlenbeck process is expressed as a sine series, and the time integrals of volatility and variance are analytically derived as the sum of independent normal random variates. The new method is one thousand times faster as it avoids the costly numerical transform inversion in the original method. The simulation variance is further reduced with conditional simulation and the control variate.

TEL 02-880-5857,6530,6531 / FAX 02-887-4694