Efficient simulation of a multi-factor stochastic volatility model

DOI10.1016/J.CAM.2013.03.002MaRDI QIDQ2349593zbMATH OpenOpenAlexFDO

Authors Giray Ökten, Ahmet Göncü

Publication date 17 June 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2013.03.002

zbMATH Keywords

importance samplingrandomized quasi-Monte Carlomulti-factor stochastic volatility model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• A continuity correction for discrete barrier options
• Multiscale Stochastic Volatility Asymptotics
• On the \(L_2\)-discrepancy for anchored boxes
• Randomized quasi-Monte Carlo methods in pricing securities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

Cited in

(7)

• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
• Simple factor realized stochastic volatility models
• Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps
• An analytical approximation method for pricing barrier options under the double Heston model
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model
• Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models
• Efficient estimation of a multivariate multiplicative volatility model

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