Variance reduction for Monte Carlo simulation in a stochastic volatility environment

DOI10.1088/1469-7688/2/1/302zbMath1405.91693OpenAlexW2101891840MaRDI QIDQ4646767

Jean-Pierre Fouque, Tracey Andrew Tullie

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/2/1/302

zbMATH Keywords

stochastic volatilityMonte Carlo simulationvariance reductionoption prices

Mathematics Subject Classification ID

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

Related Items (4)

Options Pricing for Several Maturities in a Jump-Diffusion Model ⋮ Pricing barrier options in the Heston model using the Heath-Platen estimator ⋮ Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models ⋮ An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate

Cites Work

• Statistical methods in finance
• Variance Reduction for Simulated Diffusions
• Singular Perturbations in Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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