Variance derivatives pricing and control variate Monte Carlo method

DOI10.3969/J.ISSN.0253-374X.2009.12.026zbMATH Open1224.91182MaRDI QIDQ3072844FDOQ3072844

Authors: Jun Mei Ma, Jing Zhou, Chenglong Xu 

Publication date: 5 February 2011

Recommendations

• An efficient control variate method for pricing variance derivatives
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zbMATH Keywords

control variateMonte Carlo methodstochastic volatilityderivativesvariance swap

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (8)

• Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
• An efficient control variate method for pricing variance derivatives
• A martingale control variate method for option pricing with stochastic volatility
• Control variates and conditional Monte Carlo for basket and Asian options
• Least-square-based control variate method for pricing options under general factor models
• Monte Carlo acceleration algorithm of pricing switch corridor variance swap
• A multilevel approach to control variates
• Efficient Monte Carlo pricing of European options using mean value control variates

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