sim.expOU.sv: Simulate an exp-OU stoch volatility model with 1 or 2 vol...

In mludkov/mlOSP: Machine Learning and Regression Monte Carlo Algorithms for Optimal Stopping

Simulate an exp-OU stoch volatility model with 1 or 2 vol factors

Description

Simulate an exp-OU stoch volatility model with 1 or 2 vol factors

Usage

sim.expOU.sv(x0, model, dt = model$dt, useEuler = FALSE)

Arguments

x0	should have 2 or 3 columns
model	a list containing all the other parameters, including volatility model$sigma, interest rate model$r and continuous dividend yield model$div.
dt	is the step size in time. Defaults to model$dt
useEuler	flag, whether to use the exact transition for the StochVol factor, or its Euler approximation

Details

: Need the following fields in model: svMean (mean-reversion level), svAlpha (mean-reversion strength), svEpsY (fast scaling parameter), svVol (volatility of volatility), svRho (correlation with asset S). For 2-factor also need: svMeanZ (slow scale mean-reversion level), svAlphaZ (mean-reversion strength), svDeltaZ (slow scaling parameter), svVolZ (Z volatility), svRhoZ (correlation between Z and S), svRhoYZ ( correlation between the fast and slow SV factors)

mludkov/mlOSP documentation built on April 29, 2023, 7:56 p.m.