Fast strong approximation Monte Carlo schemes for stochastic volatility models
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Cites work
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Cited in
(40)- Approximating explicitly the mean-reverting CEV process
- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
- Calibration and simulation of Heston model
- Unbiased estimation with square root convergence for SDE models
- Chi-square simulation of the CIR process and the Heston model
- A low-bias simulation scheme for the SABR stochastic volatility model
- Complex logarithms in Heston-like models
- Multiple stochastic volatility extension of the Libor market model and its implementation
- Efficient, almost exact simulation of the Heston stochastic volatility model
- A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
- Backward simulation methods for pricing American options under the CIR process
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Gamma expansion of the Heston stochastic volatility model
- Unbiased estimators and multilevel Monte Carlo
- Decomposition formula for rough Volterra stochastic volatility models
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
- A comparison of biased simulation schemes for stochastic volatility models
- Numerical stability of a hybrid method for pricing options
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
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- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- Efficient second-order weak scheme for stochastic volatility models
- Option pricing under stochastic volatility models with latent volatility
- Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
- A fast Monte Carlo scheme for additive processes and option pricing
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
- Mean-reverting schemes for solving the CIR model
- A probabilistic numerical method for fully nonlinear parabolic PDEs
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- First order strong approximations of scalar SDEs defined in a domain
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