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

DOI10.1080/00207160.2019.1584671zbMath1480.91317OpenAlexW2916042448WikidataQ128355520 ScholiaQ128355520MaRDI QIDQ5030552

Yijuan Liang, Cheng-long Xu

Publication date: 17 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2019.1584671

zbMATH Keywords

stochastic volatilityoption pricingstochastic interest rateconditional Monte Carlomartingale control variate

Mathematics Subject Classification ID

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

Related Items (4)

Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate ⋮ Computational analysis of the behavior of stochastic volatility models with financial applications ⋮ Calibration of the temporally varying volatility and interest rate functions ⋮ Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level

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