EXACT SIMULATION OF THE 3/2 MODEL
From MaRDI portal
Publication:3166709
DOI10.1142/S021902491250032XzbMath1262.91114arXiv1105.3297MaRDI QIDQ3166709
Publication date: 15 October 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.3297
Related Items
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model, Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance, Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model, Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees, Pricing ratchet equity index annuity with mortality risk by complex Fourier series method, Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations, Explicit solution simulation method for the 3/2 model, RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES
Cites Work
- Unnamed Item
- Gamma expansion of the Heston stochastic volatility model
- Mathematical methods for financial markets.
- Infinite-dimensional quadrature and approximation of distributions
- Lie group symmetries as integral transforms of fundamental solutions
- A factorisation of diffusion measure and finite sample path constructions
- The calculation of expectations for classes of diffusion processes by Lie symmetry methods
- Efficient Monte Carlo simulation of security prices
- A new approach for option pricing under stochastic volatility
- Exact simulation of diffusions
- Retrospective exact simulation of diffusion sample paths with applications
- Variance Reduction via Lattice Rules
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Multilevel Monte Carlo Path Simulation
- Monte Carlo Variance of Scrambled Net Quadrature
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Algorithm 823
- CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case