Coupling index and stocks
From MaRDI portal
Publication:2869971
DOI10.1080/14697681003785959zbMath1278.91113arXiv0911.2834MaRDI QIDQ2869971
Mohamed Karim Sbai, Benjamin Jourdain
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.2834
stochastic volatility; Monte Carlo methods; numerical simulation; model calibration; equities; implied volatilities; correlation modelling
91G60: Numerical methods (including Monte Carlo methods)
91B70: Stochastic models in economics
91B82: Statistical methods; economic indices and measures
Related Items
Implied Volatility of Basket Options at Extreme Strikes, The multivariate Variance Gamma model: basket option pricing and calibration, A model-free approach to multivariate option pricing, STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS, EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS, THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
Cites Work
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- Propagation and conditional propagation of chaos for pressureless gas equations
- A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
- Why is the Index Smile So Steep? *
- An inverse parabolic problem arising in finance
- Valuing American Options by Simulation: A Simple Least-Squares Approach