An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552): Difference between revisions

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scientific article; zbMATH DE number 7475947

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English	An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate	scientific article; zbMATH DE number 7475947

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instance of

scholarly article

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title

An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (English)

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International Journal of Computer Mathematics

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publication date

17 February 2022

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zbMATH Keywords

conditional Monte Carlo

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martingale control variate

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option pricing

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stochastic volatility

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stochastic interest rate

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2019.1584671

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cites work

The Pricing of Options and Corporate Liabilities

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Monte Carlo methods for security pricing

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Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

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A Theory of the Term Structure of Interest Rates

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

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

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Control variates and conditional Monte Carlo for basket and Asian options

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Variance reduction for Monte Carlo simulation in a stochastic volatility environment

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Q4433608

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

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A closed-form pricing formula for European options under the Heston model with stochastic interest rate

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Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Pricing Interest-Rate-Derivative Securities

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Q2924611

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A comparison of biased simulation schemes for stochastic volatility models

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An efficient control variate method for pricing variance derivatives

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Q4905685

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Q5179038

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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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Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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A hybrid Monte Carlo acceleration method of pricing basket options based on splitting

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An equilibrium characterization of the term structure

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Identifiers

zbMATH Open document ID

1480.91317

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DOI

10.1080/00207160.2019.1584671

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5030552

@@ 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 @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+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 @@
+Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
+Normal rank
@@ Property / cites work @@
+A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Control variates and conditional Monte Carlo for basket and Asian options
+Normal rank
@@ Property / cites work @@
+Variance reduction for Monte Carlo simulation in a stochastic volatility environment
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+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 @@
+The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
+Normal rank
@@ Property / cites work @@
+A closed-form pricing formula for European options under the Heston model with stochastic interest rate
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+Q2924611
@@ Property / cites work: Q2924611 / rank @@
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+An efficient control variate method for pricing variance derivatives
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5179038
@@ Property / cites work: Q5179038 / 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 / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank