An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
DOI10.1080/00207160.2019.1584671zbMATH Open1480.91317OpenAlexW2916042448WikidataQ128355520 ScholiaQ128355520MaRDI QIDQ5030552FDOQ5030552
Authors: Yijuan Liang, Chenglong Xu 
Publication date: 17 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2019.1584671
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option pricingstochastic volatilitystochastic interest rateconditional Monte Carlomartingale control variate
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
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Cited In (5)
- Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
- Computational analysis of the behavior of stochastic volatility models with financial applications
- An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
- Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level
- Calibration of the temporally varying volatility and interest rate functions
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