A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213): Difference between revisions

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scientific article; zbMATH DE number 6856765

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English	A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models	scientific article; zbMATH DE number 6856765

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instance of

scholarly article

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title

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (English)

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Applied Mathematical Finance

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publication date

6 April 2018

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zbMATH Keywords

conditional Monte Carlo

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variance reduction

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dimension reduction

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partial integro-differential equation

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jump diffusions

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fast Fourier transform

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normal

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double-exponential

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MaRDI profile type

MaRDI publication profile

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cites work

Q3331506

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Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

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Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model

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Moment explosions in stochastic volatility models

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Pricing and hedging long-term options

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A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model

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The Pricing of Options and Corporate Liabilities

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Interest rate models -- theory and practice. With smile, inflation and credit

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Financial Modelling with Jump Processes

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Q5436599

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A Theory of the Term Structure of Interest Rates

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A multi-level dimension reduction Monte-Carlo method for jump-diffusion models

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Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

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A dimension reduction Shannon-wavelet based method for option pricing

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A general version of the fundamental theorem of asset pricing

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

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Multilevel Monte Carlo Path Simulation

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Q4433608

0 references

The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

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On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

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On the Heston Model with Stochastic Interest Rates

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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

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Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

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Q3374320

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Scenario simulation: Theory and methodology

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A Jump-Diffusion Model for Option Pricing

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Option pricing when underlying stock returns are discontinuous

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Q4905685

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Martingale methods in financial modelling.

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First order strong approximations of scalar SDEs defined in a domain

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Q2756619

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Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

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full work available at URL

https://doi.org/10.1080/1350486x.2017.1358646

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Identifiers

zbMATH Open document ID

1398.91669

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DOI

10.1080/1350486X.2017.1358646

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4610213

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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Q3331506
@@ Property / cites work: Q3331506 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
+Normal rank
@@ Property / cites work @@
+Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model
+Normal rank
@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and hedging long-term options
@@ Property / cites work: Pricing and hedging long-term options / rank @@
+Normal rank
@@ Property / cites work @@
+A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q5436599
@@ Property / cites work: Q5436599 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+A multi-level dimension reduction Monte-Carlo method for jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
+Normal rank
@@ Property / cites work @@
+A dimension reduction Shannon-wavelet based method for option pricing
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
+Normal rank
@@ Property / cites work @@
+On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
+Normal rank
@@ Property / cites work @@
+On the Heston Model with Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
+Normal rank
@@ Property / cites work @@
+Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q3374320
@@ Property / cites work: Q3374320 / rank @@
+Normal rank
@@ Property / cites work @@
+Scenario simulation: Theory and methodology
@@ Property / cites work: Scenario simulation: Theory and methodology / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale methods in financial modelling.
@@ Property / cites work: Martingale methods in financial modelling. / rank @@
+Normal rank
@@ Property / cites work @@
+First order strong approximations of scalar SDEs defined in a domain
+Normal rank
@@ Property / cites work @@
+Q2756619
@@ Property / cites work: Q2756619 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/1350486x.2017.1358646
+Normal rank
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+W2753618132
@@ Property / OpenAlex ID: W2753618132 / rank @@
+Normal rank