Pricing exotic options using MSL-MC

DOI10.1080/14697680903426565MaRDI QIDQ2866370zbMATH OpenOpenAlexFDO

Authors Klaus Schmitz Abe

Publication date 13 December 2013

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903426565

zbMATH Keywords

derivative pricing modelsexotic optionsMonte Carlo methodsnumerical methods for option pricingoptions pricingpricing of financial securitiesstochastic models

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Multilevel Monte Carlo Path Simulation
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients

Cited in

(3)

• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Pricing Exotic Options Using Strong Convergence Properties
• Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Describes a project that uses

Uses Software

• Mathematica

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