{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,6]],"date-time":"2026-10-06T19:54:50Z","timestamp":1791316490195,"version":"4.3.1"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We propose efficient methodologies for calibrating and simulating the Ornstein-Uhlenbeck-driven stochastic volatility (OUSV) model and for pricing frequently monitored exotic options. First, we provide a new representation of the characteristic function of log-returns which (i) avoids discontinuities caused by branch switchings of complex functions; and (ii) it is easy to differentiate with respect to the model parameters. Based on this, we propose a fast, full calibration algorithm that exploits the analytical gradient to speed up computations. Second, we develop a low-bias simulation scheme that is fast and accurate. It is theoretically motivated and works well for both large and small time steps, making it ideal for pricing path-dependent options. Extensive numerical studies demonstrate the superiority of the proposed simulation methodologies over existing benchmarks. Third, we derive the characteristic function of integrated logarithmic returns and propose an efficient method for pricing geometric Asian options that are monitored continuously or discretely, based on the Fourier-cosine method. Finally, we address the issue of efficiently pricing exotic options using Monte Carlo simulation. We combine the low-bias simulation scheme with: (i) the new geometric Asian option pricing procedure, creating a Monte Carlo control variate approach for pricing arithmetic Asian options under the OUSV model; and (ii) the new expression for the characteristic function of log-returns, efficiently pricing barrier options using a conditional Monte Carlo method. The calibration and simulation algorithms presented in this paper satisfy the speed and accuracy requirements for practical trading.<\/jats:p>","DOI":"10.2139\/ssrn.7565578","type":"posted-content","created":{"date-parts":[[2026,10,6]],"date-time":"2026-10-06T19:28:06Z","timestamp":1791314886000},"source":"Crossref","is-referenced-by-count":0,"title":["Full calibration, fast simulation, and exotic options pricing under the Ornstein-Uhlenbeck driven stochastic volatility model"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8282-8036","authenticated-orcid":true,"given":"Riccardo","family":"Brignone","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Carlo","family":"Sgarra","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,6]],"date-time":"2026-10-06T19:28:06Z","timestamp":1791314886000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7565578"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7565578","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}