NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS

DOI10.1142/S0219024912500471zbMath1255.91425OpenAlexW3123346882MaRDI QIDQ4902542

Carole Bernard, Donald L. McLeish, Zhen-Yu Cui

Publication date: 16 January 2013

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

Full work available at URL: https://doi.org/10.1142/s0219024912500471

zbMATH Keywords

importance samplingcharacteristic functionMonte Carlo simulationsHeston stochastic volatility modelFourier inversionParisian optionforward-start options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes ⋮ Spline local basis methods for nonparametric density estimation ⋮ INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS ⋮ Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates ⋮ Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model ⋮ Semi-analytical prices for lookback and barrier options under the Heston model ⋮ Conditional quantiles and tail dependence

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• On coordinate transformation and grid stretching for sparse grid pricing of basket options
• Remarks on algorithm 006: An adaptive algorithm for numerical integration over an N-dimensional rectangular region
• Performance regularity: a new class of executive compensation packages
• On the pricing of forward starting options in Heston's model on stochastic volatility
• A Continuity Correction for Discrete Barrier Options
• A Theory of the Term Structure of Interest Rates
• Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
• COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
• Fourier space time-stepping for option pricing with Lévy models
• PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
• Saddlepoint methods for option pricing
• Brownian Excursions and Parisian Barrier Options
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Numerical Inversion of Laplace Transforms of Probability Distributions
• FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
• Numerical Inversion of Laplace Transforms Using Laguerre Functions
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹

This page was built for publication: NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS