Calculation of options using stochastic volatility models based on exact simulation

DOI10.11908/J.ISSN.0253-374X.2017.10.017MaRDI QIDQ4641066zbMATH OpenFDO

Authors Jun Mei Ma, Yuting Yang, Guiding Gu, Chenglong Xu

Publication date 25 May 2018

Full work available at URL https://doi.org/10.11908/J.ISSN.0253-374X.2017.10.017

zbMATH Keywords

accelerationconditional Monte Carloexact simulationstochastic volatility

Mathematics Subject Classification ID

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

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(5)

• Exact and approximate solutions for options with time-dependent stochastic volatility
• Estimating option Greeks under the stochastic volatility using simulation
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• scientific article; zbMATH DE number 1222808 (Why is no real title available?)
• Evaluating volatility forecasts in option pricing in the context of a simulated options market

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