Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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Publication:3391972
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Cited in
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- 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
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- 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
- On an efficient multiple time step Monte Carlo simulation of the SABR model
- Series Expansions and Direct Inversion for the Heston Model
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
- Exact simulation of the 3/2 model
- A closed-form exact solution for pricing variance swaps with stochastic volatility
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Statistical inference for stochastic differential equations
- Efficient simulation of Lévy-driven point processes
- Pricing of geometric Asian options under Heston's stochastic volatility model
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Valuation of power options under Heston's stochastic volatility model
- A low-bias simulation scheme for the SABR stochastic volatility model
- A comparison of biased simulation schemes for stochastic volatility models
- Expectations of functions of stochastic time with application to credit risk modeling
- Complex logarithms in Heston-like models
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- On the valuation of variance swaps with stochastic volatility
- Option pricing under stochastic volatility models with latent volatility
- Nearly exact option price simulation using characteristic functions
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
- Levelling the playing field: a VIX-linked structure for funded pension schemes
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- Monte Carlo simulation of SDEs using GANs
- Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
- On pricing of discrete Asian and Lookback options under the Heston model
- A smooth estimator for MC/QMC methods in finance
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Reducing bias in event time simulations via measure changes
- An optimal investment model with Markov-driven volatilities
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function
- On the density of log-spot in the Heston volatility model
- 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
- Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
- Impact of flexible periodic premiums on variable annuity guarantees
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Bessel bridges decomposition with varying dimension: applications to finance
- Gamma expansion of the Heston stochastic volatility model
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
- Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps
- Exact simulation of generalised Vervaat perpetuities
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Backward simulation methods for pricing American options under the CIR process
- Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
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