An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
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Publication:5030552
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Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 6416757 (Why is no real title available?)
- A closed-form pricing formula for European options under the Heston model with stochastic interest rate
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A comparison of biased simulation schemes for stochastic volatility models
- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
- A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
- A theory of the term structure of interest rates
- An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
- An efficient control variate method for pricing variance derivatives
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Control variates and conditional Monte Carlo for basket and Asian options
- Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Monte Carlo methods for security pricing
- On cross-currency models with stochastic volatility and correlated interest rates
- On the Heston model with stochastic interest rates
- Pricing interest-rate-derivative securities
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
- Stock price distributions with stochastic volatility: an analytic approach
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
- The pricing of options and corporate liabilities
- Variance reduction for Monte Carlo simulation in a stochastic volatility environment
Cited in
(8)- Computational analysis of the behavior of stochastic volatility models with financial applications
- Calculation of options using stochastic volatility models based on exact simulation
- Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level
- Conditional Monte Carlo hybrid acceleration method under stochastic interest rate model and its applications
- Advanced Monte Carlo pricing of European options in a market model with two stochastic volatilities
- An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
- Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate
- Calibration of the temporally varying volatility and interest rate functions
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