Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

DOI10.1287/OPRE.1050.0247zbMATH Open1167.91363OpenAlexW2106198262MaRDI QIDQ3391972FDOQ3391972

Authors: Mark Broadie, Özgür Kaya 

Publication date: 13 August 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5a0952df73e4150cf953d1bb6787888c720fab55

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Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (only showing first 100 items - show all)

• 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
• Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps
• 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
• Stochastic volatility and stochastic leverage
• Alternative defaultable term structure models
• Pricing inflation products with stochastic volatility and stochastic interest rates
• Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
• Modeling the risk in mortality projections
• Estimating option Greeks under the stochastic volatility using simulation
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
• Simulating random variables using moment-generating functions and the saddlepoint approximation
• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
• Exchange option pricing under stochastic volatility: a correlation expansion
• Pricing foreign equity option with stochastic volatility
• Fast numerical pricing of barrier options under stochastic volatility and jumps
• The Jacobi stochastic volatility model
• Calibration and simulation of Heston model
• Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
• Bessel processes, stochastic volatility, and timer options
• 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
• A closed-form exact solution for pricing variance swaps with stochastic volatility
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
• Pricing of geometric Asian options under Heston's 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
• Valuation of power options under Heston's stochastic volatility model
• Option pricing under stochastic volatility models with latent volatility
• Complex logarithms in Heston-like models
• Extension of stochastic volatility equity models with the Hull-White interest rate process
• Nearly exact option price simulation using characteristic functions
• On the valuation of variance swaps with stochastic volatility
• Moments of integrated exponential Lévy processes and applications to Asian options pricing
• Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
• A smooth estimator for MC/QMC methods in finance
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
• On the density of log-spot in the Heston volatility model
• Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
• The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
• Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
• Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
• Bessel bridges decomposition with varying dimension: applications to finance
• Gamma expansion of the Heston stochastic volatility model
• Exact simulation of generalised Vervaat perpetuities
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
• Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
• Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
• Tenor specific pricing
• Pricing joint claims on an asset and its realized variance in stochastic volatility models
• 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
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
• Density approximations for multivariate affine jump-diffusion processes
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
• 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
• Artificial boundary method for European pricing option problem
• Explicit Heston solutions and stochastic approximation for path-dependent option pricing
• Prices and asymptotics for discrete variance swaps
• A general framework for time-changed Markov processes and applications
• 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
• A general method for debiasing a Monte Carlo estimator
• 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
• Evaluating discrete dynamic strategies in affine models
• Weak approximation of Heston model by discrete random variables
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
• A fast numerical method to price American options under the Bates model
• BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
• Efficient, almost exact simulation of the Heston stochastic volatility model
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• 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
• Least-squares estimation for the subcritical Heston model based on continuous-time observations
• Saddlepoint approximation methods for pricing derivatives on discrete realized variance
• Valuation of variable annuities under stochastic volatility and stochastic jump intensity
• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
• A transform-based method for pricing Asian options under general two-dimensional models
• Approximating inverse cumulative distribution functions to produce approximate random variables
• Exact simulation of the Hull and White stochastic volatility model
• The mean-reverting 4/2 stochastic volatility model: properties and financial applications
• Branching particle pricers with Heston examples
• Title not available (Why is that?)
• 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
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
• Pricing barrier options in the Heston model using the Heath-Platen estimator
• American Option Valuation with Particle Filters
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
• On an efficient multiple time step Monte Carlo simulation of the SABR model

Uses Software

• MersenneTwister
• Algorithm 644

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