Asymptotics beats Monte Carlo: the case of correlated local vol baskets
DOI10.1002/CPA.21488zbMATH Open1302.91193OpenAlexW2096919360MaRDI QIDQ2922151FDOQ2922151
Authors: Christian Bayer, Peter Laurence 
Publication date: 9 October 2014
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cpa.21488
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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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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
- Basket option pricing and implied correlation in a one-factor Lévy model
- The pricing of basket-spread options
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- Smoothing the payoff for efficient computation of Basket option prices
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
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