NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS
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Publication:4902542
DOI10.1142/S0219024912500471zbMath1255.91425MaRDI QIDQ4902542
Carole Bernard, Donald L. McLeish, Zhen-Yu Cui
Publication date: 16 January 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500471
importance sampling; characteristic function; Monte Carlo simulations; Heston stochastic volatility model; Fourier inversion; Parisian option; forward-start options
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS, Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model, Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates, Spline local basis methods for nonparametric density estimation, Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes, Semi-analytical prices for lookback and barrier options under the Heston model, Conditional quantiles and tail dependence
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