英文标题：
《Exact Simulation of Wishart Multidimensional Stochastic Volatility Model》
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作者：
Chulmin Kang, Wanmo Kang
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最新提交年份：
2013
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英文摘要：
  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.
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中文摘要：
在本文中，我们提出了一种Wishart多维随机波动率（WMSV）模型的精确模拟方法，该模型最近由Da Fonseca等人提出。我们的方法基于对给定波动水平的对数价格的条件特征函数的分析。特别是，我们找到了赫斯顿模型的条件特征函数的显式表达式。我们进行了数值实验来证明我们的方法的性能和准确性。数值实验结果表明，该方法比欧拉离散化方法速度快、可靠性高。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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