scientific article; zbMATH DE number 1069624

zbMATH Open0898.90034MaRDI QIDQ4356586FDOQ4356586

Authors: Eric Fournié, J.-M. Lasry, Nizar Touzi 

Publication date: 12 October 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Monte Carlo methodsBlack-Scholes modelstochastic volatility modelsvaluation of contingent claimsimportance sampling variance reduction

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cited In (16)

• Stochastic Volatility Estimation Using Markov Chain Simulation
• A variance reduction technique based on integral representations
• Some Numerical Methods for Rare Events Simulation and Analysis
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Study of 'value' modelling efficiency in the Monte Carlo method
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model
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• Comparison of MCMC methods for estimating stochastic volatility models
• Sample path large deviations and optimal importance sampling for stochastic volatility models
• The weighted variance minimization in jump-diffusion stochastic volatility models
• Title not available (Why is that?)
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• Variance reduction for Monte Carlo simulation in a stochastic volatility environment
• Efficient simulation of a multi-factor stochastic volatility model
• Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

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