Monte Carlo calibration to implied volatility surface under volatility models
DOI10.1007/s13160-017-0270-zzbMath1411.91621OpenAlexW2761426263MaRDI QIDQ1684770
Chuan-Hsiang Han, Chien-Liang Kuo
Publication date: 12 December 2017
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-017-0270-z
Fourier transform methodMonte Carlo simulationhybrid modelimplied volatility surfaceGPU parallel computingmartingale control variatemulti-factor stochastic volatility modelstandard error reduction
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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