A mixed PDE/Monte-Carlo method for stochastic volatility models

DOI10.1016/J.CRMA.2009.02.021MaRDI QIDQ1018129zbMATH OpenOpenAlexFDO

Authors Grégoire Loeper, Olivier Pironneau

Publication date 13 May 2009

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2009.02.021

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Computational Methods for Option Pricing
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(13)

• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
• Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model
• Isogeometric analysis in option pricing
• The Heston stochastic-local volatility model: efficient Monte Carlo simulation
• Mixing LSMC and PDE methods to price Bermudan options
• A novel Monte Carlo approach to hybrid local volatility models
• Mixing Monte-Carlo and partial differential equations for pricing options
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• A finite volume-alternating direction implicit method for the valuation of American options under the Heston model
• Pricing options under stochastic volatility jump model: a stable adaptive scheme
• BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
• Mixing Monte Carlo and partial differential equations for pricing options

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