A multi-level dimension reduction Monte-Carlo method for jump-diffusion models
From MaRDI portal
Publication:2360709
DOI10.1016/j.cam.2017.04.014zbMath1367.65007OpenAlexW2337296382MaRDI QIDQ2360709
Publication date: 4 July 2017
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.2017.04.014
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model ⋮ A dimension reduction Shannon-wavelet based method for option pricing ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Cites Work
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- First order strong approximations of scalar SDEs defined in a domain
- Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
- A general version of the fundamental theorem of asset pricing
- Efficient Monte Carlo simulation of security prices
- Pricing and hedging long-term options
- Moment explosions in stochastic volatility models
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
- On the Heston Model with Stochastic Interest Rates
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- Multilevel Monte Carlo Path Simulation
- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
- Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
- Financial Modelling with Jump Processes
- Computing Greeks Using Multilevel Path Simulation
- On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
This page was built for publication: A multi-level dimension reduction Monte-Carlo method for jump-diffusion models
