THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY

DOI10.1142/S0219024903002249zbMath1079.91042MaRDI QIDQ5696880

Wim Schoutens, Stijn Symens

Publication date: 19 October 2005

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

zbMATH Keywords

Lévy processesstochastic volatilityMonte Carlo simulationsmodel riskexotic options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Option pricing for stochastic volatility model with infinite activity Lévy jumps ⋮ American option valuation under time changed tempered stable Lévy processes ⋮ PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options ⋮ Pricing foreign equity option under stochastic volatility tempered stable Lévy processes ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Option pricing and hedging for optimized Lévy driven stochastic volatility models ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Uniqueness of minimal energy solutions for a semilinear problem involving the fractional Laplacian ⋮ Pricing discretely-monitored double barrier options with small probabilities of execution ⋮ RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES ⋮ BARRIER OPTION PRICING BY BRANCHING PROCESSES

Cites Work

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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Option Pricing With V. G. Martingale Components¹
• Lévy processes, polynomials and martingales
• The Variance Gamma Process and Option Pricing

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