IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
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Publication:5324399
DOI10.1142/S021902490900518XzbMath1183.91183MaRDI QIDQ5324399
Christian-Oliver Ewald, Zhaojun Yang, Yajun Xiao
Publication date: 3 August 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Monte Carlo simulation; calibration; Asian options; implied volatility; exotic options; local volatility
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
Uses Software
Cites Work
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- The Malliavin gradient method for the calibration of stochastic dynamical models
- A new formula for computing implied volatility
- Financial Modelling with Jump Processes
- An Introduction to Financial Option Valuation
- A new technique for calibrating stochastic volatility models: the Malliavin gradient method