Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

DOI10.1017/APR.2020.58MaRDI QIDQ5022286zbMATH OpenOpenAlexFDO

Authors Zorana Grbac, David Krief, Peter Tankov

Publication date 18 January 2022

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/apr.2020.58

zbMATH Keywords

affine stochastic volatilityimportance samplinglarge deviationsMonte Carlo methods

Mathematics Subject Classification ID

Large deviations (60F10) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Affine processes and applications in finance
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 1376935 (Why is no real title available?)
• Importance Sampling, Large Deviations, and Differential Games
• Integrals which are convex functionals. II
• Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
• Large deviations for Poisson random measures and processes with independent increments
• Moment explosions and long-term behavior of affine stochastic volatility models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Optimal importance sampling for Lévy processes
• Optimal importance sampling with explicit formulas in continuous time
• Processes of normal inverse Gaussian type
• Sample path large deviations and optimal importance sampling for stochastic volatility models
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

Cited in

(3)

• Sample path large deviations and optimal importance sampling for stochastic volatility models
• Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing
• Large and moderate deviations for importance sampling in the Heston model

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