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

DOI10.1016/J.CRMA.2009.02.021zbMATH Open1168.91018OpenAlexW2065741784MaRDI QIDQ1018129FDOQ1018129

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

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Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
• The Mathematics of Financial Derivatives
• Computational Methods for Option Pricing

Cited In (13)

• 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
• Mixing LSMC and PDE methods to price Bermudan options
• The Heston stochastic-local volatility model: efficient Monte Carlo simulation
• A novel Monte Carlo approach to hybrid local volatility models
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• Mixing Monte-Carlo and partial differential equations for pricing options
• 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
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

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