Least-square-based control variate method for pricing options under general factor models

DOI10.1080/00207160.2018.1442925MaRDI QIDQ5031850zbMATH OpenOpenAlexWikidataFDO

Authors Jun Mei Ma, Yiming Tian, Chenglong Xu

Publication date 16 February 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2018.1442925

zbMATH Keywords

Monte Carlo simulationstochastic volatilitystochastic interest ratecontrol variate methodleast-square method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 5145313 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A martingale control variate method for option pricing with stochastic volatility
• A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models
• An efficient control variate method for pricing variance derivatives
• Efficient Monte Carlo pricing of European options using mean value control variates
• Estimating Security Price Derivatives Using Simulation
• General closed-form basket option pricing bounds
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
• On the Heston model with stochastic interest rates
• Variance reduction for Asian options under a general model framework
• Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

Cited in

(7)

• A martingale control variate method for option pricing with stochastic volatility
• A general control variate method for Lévy models in finance
• A general control variate method for option pricing under Lévy processes
• Application of a control variate Monte Carlo method for pricing basket option under stochastic interest rates
• Variance derivatives pricing and control variate Monte Carlo method
• Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
• An efficient control variate method for pricing variance derivatives

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