On an efficient multiple time step Monte Carlo simulation of the SABR model

DOI10.1080/14697688.2017.1301676zbMath1402.91894OpenAlexW2336371690MaRDI QIDQ4555160

Lech A. Grzelak, Álvaro Leitao, Cornelis W. Oosterlee

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1301676

zbMATH Keywords

copulasMonte Carlo methodsFourier techniquesexotic optionsexact simulationstochastic collocationSABR model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems ⋮ ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ On the data-driven COS method ⋮ A Highly Efficient Numerical Method for the SABR Model ⋮ The principle of not feeling the boundary for the SABR model ⋮ Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models ⋮ Application of power series approximation techniques to valuation of European style options

Cites Work

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• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
• Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
• On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
• Approximations to the non-central chi-square distribution
• Exact Simulation of the SABR Model

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