Pricing bounds for volatility derivatives via duality and least squares Monte Carlo

DOI10.1007/s10957-017-1168-2zbMath1418.91599arXiv1611.00464OpenAlexW2755633863MaRDI QIDQ1626511

Ivan Guo, Grégoire Loeper

Publication date: 27 November 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.00464

zbMATH Keywords

VIX derivativesleast squares Monte Carloconvex conjugatepricing bounds

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport

Cites Work

• Pricing VIX options with stochastic volatility and random jumps
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
• Bounds for VIX futures given S{\&}P 500 smiles
• The Valuation of Volatility Options
• Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products
• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
• Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
• Pricing American Options: A Duality Approach
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
• Monte Carlo valuation of American options
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
• Valuing American Options by Simulation: A Simple Least-Squares Approach

This page was built for publication: Pricing bounds for volatility derivatives via duality and least squares Monte Carlo