Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
Lévy 驱动的连续时间 CARMA 随机波动率模型模拟方法
We develop simulation schemes for the new classes of non-Gaussian pure jump Lévy processes for stochastic volatility. We write the price and volatility processes as integrals against a vector Lévy process, which makes series approximation methods directly applicable. These methods entail simulation of the Lévy increments and formation of weighted sums of the increments; they do not require a closed-form expression for a tail mass function or specification of a copula…