Monte-Carlo method for option pricing in sub-diffusive arithmetic models

DOI10.17721/1812-5409.2021/2.12MaRDI QIDQ5018593zbMATH OpenOpenAlexFDO

Authors Nataliya Yu. Shchestyuk, S. V. Tyshchenko

Publication date 21 December 2021

Published in Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.17721/1812-5409.2021/2.12

zbMATH Keywords

gamma processMonte Carlo approachoption pricingsub-diffusion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(7)

• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
• Option pricing in illiquid markets: a fractional jump-diffusion approach
• A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
• A fast Monte Carlo scheme for additive processes and option pricing
• A subdiffusive stochastic volatility jump model
• Option pricing in subdiffusive Bachelier model
• Two approaches for option pricing under illiquidity

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