Asymptotics beats Monte Carlo: the case of correlated local vol baskets
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Publication:2922151
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Heat kernel (35K08) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)
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Cites work
- scientific article; zbMATH DE number 4129697 (Why is no real title available?)
- scientific article; zbMATH DE number 3083760 (Why is no real title available?)
- scientific article; zbMATH DE number 3087119 (Why is no real title available?)
- Analytic approximations for multi-asset option pricing
- Application of large deviation methods to the pricing of index options in finance.
- Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
- Asymptotics of implied volatility in local volatility models
- Closed form spread option valuation
- Cubature on Wiener space
- Diffusion processes in a small time interval
- Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus
- Efficient Monte Carlo pricing of European options using mean value control variates
- Equivalent Black volatilities
- HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
- Marginal density expansions for diffusions and stochastic volatility. II: Applications
- Multi-asset spread option pricing and hedging
- Multilevel Monte Carlo Path Simulation
- Pricing and Hedging Spread Options
- SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
- Semi-closed form cubature and applications to financial diffusion models
- Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds
- The heat-kernel most-likely-path approximation
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
Cited in
(20)- The collocating local volatility framework -- a fresh look at efficient pricing with smile
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
- Asymptotic expansion for some local volatility models arising in finance
- Analytic approximations for multi-asset option pricing
- Tail behavior of sums and differences of log-normal random variables
- Density estimates and short-time asymptotics for a hypoelliptic diffusion process
- An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
- Implied stopping rules for American basket options from Markovian projection
- On the probability density function of baskets
- Small-time asymptotics for basket options -- the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\)
- Implied volatility of basket options at extreme strikes
- On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
- Asymptotic expansion approach in finance
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
- Basket option pricing and implied correlation in a one-factor Lévy model
- The pricing of basket-spread options
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Smoothing the payoff for efficient computation of Basket option prices
- Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
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