Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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Publication:3391972
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- A dimension reduction Shannon-wavelet based method for option pricing
- Artificial boundary method for European pricing option problem
- Complex logarithms in Heston-like models
- Pricing inflation products with stochastic volatility and stochastic interest rates
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
- Robust static hedging of barrier options in stochastic volatility models
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- A comparison of biased simulation schemes for stochastic volatility models
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Simulating random variables using moment-generating functions and the saddlepoint approximation
- A smooth estimator for MC/QMC methods in finance
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Pricing of geometric Asian options under Heston's stochastic volatility model
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Prices and asymptotics for discrete variance swaps
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
- Evaluating discrete dynamic strategies in affine models
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
- Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
- Exchange option pricing under stochastic volatility: a correlation expansion
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- A general framework for time-changed Markov processes and applications
- Nearly exact option price simulation using characteristic functions
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
- Pricing foreign equity option with stochastic volatility
- Fast numerical pricing of barrier options under stochastic volatility and jumps
- On the valuation of variance swaps with stochastic volatility
- Stochastic volatility and stochastic leverage
- Density approximations for multivariate affine jump-diffusion processes
- Weak approximation of Heston model by discrete random variables
- Efficient, almost exact simulation of the Heston stochastic volatility model
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
- Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
- Tenor specific pricing
- Expectations of functions of stochastic time with application to credit risk modeling
- On the density of log-spot in the Heston volatility model
- Valuation of power options under Heston's stochastic volatility model
- FFT based option pricing under a mean reverting process with stochastic volatility and jumps
- Pricing joint claims on an asset and its realized variance in stochastic volatility models
- The Jacobi stochastic volatility model
- A closed-form exact solution for pricing variance swaps with stochastic volatility
- Impact of flexible periodic premiums on variable annuity guarantees
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- A fast numerical method to price American options under the Bates model
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Bessel bridges decomposition with varying dimension: applications to finance
- Gamma expansion of the Heston stochastic volatility model
- Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
- Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Bessel processes, stochastic volatility, and timer options
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Exact simulation of generalised Vervaat perpetuities
- Option pricing under stochastic volatility models with latent volatility
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
- Calibration and simulation of Heston model
- A general method for debiasing a Monte Carlo estimator
- Modeling the risk in mortality projections
- Alternative defaultable term structure models
- Estimating option Greeks under the stochastic volatility using simulation
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
- Fourier based methods for the management of complex life insurance products
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Valuation of forward start options under affine jump-diffusion models
- American Option Valuation with Particle Filters
- Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
- The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
- On pricing of discrete Asian and Lookback options under the Heston model
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- Efficient simulation of Lévy-driven point processes
- Variance swaps with mean reversion and multi-factor variance
- Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
- Weighted average price in the Heston stochastic volatility model
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS
- On a time-changed Lévy risk model with capital injections and periodic observation
- Semi-analytical prices for lookback and barrier options under the Heston model
- Model-driven statistical arbitrage on LETF option markets
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