Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model

• 成果类型: Article
• 署名作者: Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun
• 署名单位: Korea Advanced Institute of Science & Technology (KAIST)
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2017.1636
• 发表日期: 2017
• 页码: 1190-1206
• 关键词: positive semidefinite matrices; CURRENCY OPTIONS; affine processes; efficient; ARGUMENT; ORDER

摘要

In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model-a single asset model with a multidimensional Wishart variance process. Our method Is based on analysis of the conditional characteristic function of the log-price given a terminal volatility level. In particular, we found an explicit expression for the conditional characteristic function for the Heston model. Numerical experiments demonstrate that our new method Is much faster and reliable than the Euler discretization method.