The paper derives an exact simulation scheme for the OU-driven SV model by expanding the volatility process in a Karhunen-Loève sine series, yielding closed-form expressions for integrated volatility and variance as series of independent Gaussians.
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Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Lo\`eve expansions
The paper derives an exact simulation scheme for the OU-driven SV model by expanding the volatility process in a Karhunen-Loève sine series, yielding closed-form expressions for integrated volatility and variance as series of independent Gaussians.