NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS
Publication:4902542
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
importance samplingcharacteristic functionMonte Carlo simulationsHeston stochastic volatility modelFourier inversionParisian optionforward-start options
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Cites Work
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