Efficient simulation of a multi-factor stochastic volatility model

DOI10.1016/J.CAM.2013.03.002zbMATH Open1314.91237OpenAlexW1964169343MaRDI QIDQ2349593FDOQ2349593

Ahmet Göncü, Giray Ökten

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

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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)

Cites Work

• Title not available (Why is that?)
• A continuity correction for discrete barrier options
• Title not available (Why is that?)
• Multiscale Stochastic Volatility Asymptotics
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Randomized quasi-Monte Carlo methods in pricing securities
• On the \(L_2\)-discrepancy for anchored boxes
• 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
• Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
• Simple factor realized stochastic volatility models
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model
• 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
• Efficient estimation of a multivariate multiplicative volatility model

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