Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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Publication:3391972
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Cited in
(only showing first 100 items - show all)- On a time-changed Lévy risk model with capital injections and periodic observation
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
- Computational technique for simulating variable-order fractional Heston model with application in US stock market
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- An adaptive splitting method for the Cox-Ingersoll-Ross process
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
- Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Tenor specific pricing
- Pricing joint claims on an asset and its realized variance in stochastic volatility models
- Density approximations for multivariate affine jump-diffusion processes
- Computation of powered option prices under a general model for underlying asset dynamics
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
- Weighted average price in the Heston stochastic volatility model
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
- A general framework for time-changed Markov processes and applications
- Explicit solution simulation method for the 3/2 model
- Collocating volatility: a competitive alternative to stochastic local volatility models
- Artificial boundary method for European pricing option problem
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
- Prices and asymptotics for discrete variance swaps
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
- Model-driven statistical arbitrage on LETF option markets
- Robust static hedging of barrier options in stochastic volatility models
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Semi-analytical prices for lookback and barrier options under the Heston model
- A fast numerical method to price American options under the Bates model
- A general method for debiasing a Monte Carlo estimator
- Weak approximation of Heston model by discrete random variables
- Valuation of forward start options under affine jump-diffusion models
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
- Evaluating discrete dynamic strategies in affine models
- Optimal stopping under uncertainty in drift and jump intensity
- BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
- Efficient, almost exact simulation of the Heston stochastic volatility model
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
- Implied value-at-risk and model-free simulation
- Pricing levered warrants under the CEV diffusion model
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
- Uniform approximation of the Cox-Ingersoll-Ross process
- Deep hedging
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Chi-square simulation of the CIR process and the Heston model
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
- Least-squares estimation for the subcritical Heston model based on continuous-time observations
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- 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
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Saddlepoint approximation methods for pricing derivatives on discrete realized variance
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- FFT based option pricing under a mean reverting process with stochastic volatility and jumps
- Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- Stochastic volatility and stochastic leverage
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- Alternative defaultable term structure models
- A transform-based method for pricing Asian options under general two-dimensional models
- Pricing inflation products with stochastic volatility and stochastic interest rates
- Approximating inverse cumulative distribution functions to produce approximate random variables
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- Estimating option Greeks under the stochastic volatility using simulation
- Branching particle pricers with Heston examples
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Exchange option pricing under stochastic volatility: a correlation expansion
- scientific article; zbMATH DE number 5910754 (Why is no real title available?)
- Exact simulation of the Hull and White stochastic volatility model
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications
- Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
- Modeling the risk in mortality projections
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS
- Simulating random variables using moment-generating functions and the saddlepoint approximation
- Pricing foreign equity option with stochastic volatility
- The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
- The Jacobi stochastic volatility model
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- Fast numerical pricing of barrier options under stochastic volatility and jumps
- Calibration and simulation of Heston model
- The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
- American Option Valuation with Particle Filters
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Bessel processes, stochastic volatility, and timer options
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