Pages that link to "Item:Q3437409"

The following pages link to Fast strong approximation Monte Carlo schemes for stochastic volatility models (Q3437409):

Displaying 31 items.

• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation (Q438725) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
• First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
• Approximating explicitly the mean-reverting CEV process (Q1657909) (← links)
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889) (← links)
• Calibration and simulation of Heston model (Q2364763) (← links)
• Unbiased Estimation with Square Root Convergence for SDE Models (Q2795863) (← links)
• CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (Q2882692) (← links)
• COMPLEX LOGARITHMS IN HESTON-LIKE MODELS (Q3161742) (← links)
• Multiple stochastic volatility extension of the Libor market model and its implementation (Q3405598) (← links)
• EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL (Q3560077) (← links)
• Backward simulation methods for pricing American options under the CIR process (Q4555172) (← links)
• EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING (Q4608114) (← links)
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• Unbiased Estimators and Multilevel Monte Carlo (Q4969336) (← links)
• DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← links)
• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model (Q5139218) (← links)
• A comparison of biased simulation schemes for stochastic volatility models (Q5190133) (← links)
• NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (Q5247272) (← links)
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939) (← links)
• Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007) (← links)
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation (Q5397429) (← links)
• Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model (Q6098976) (← links)
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
• Mean-reverting schemes for solving the CIR model (Q6175251) (← links)
• Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities (Q6498605) (← links)