EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING

DOI10.1142/S0219024918500061zbMath1395.91454arXiv1608.02028OpenAlexW2788096234MaRDI QIDQ4608114

Michael A. Kouritzin

Publication date: 15 March 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.02028

zbMATH Keywords

stochastic differential equationstochastic approximationMonte Carlo simulationAmerican optionsexplicit solutionHeston modelLSM algorithm

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Combined multiplicative-Heston model for stochastic volatility ⋮ VIX-linked fees for GMWBs via explicit solution simulation methods ⋮ On explicit local solutions of Itô diffusions ⋮ BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES ⋮ Explicit solution simulation method for the 3/2 model

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