Least-square-based control variate method for pricing options under general factor models
DOI10.1080/00207160.2018.1442925zbMATH Open1481.91222OpenAlexW2790290959WikidataQ130195549 ScholiaQ130195549MaRDI QIDQ5031850FDOQ5031850
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
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Monte Carlo simulationstochastic volatilitystochastic interest ratecontrol variate methodleast-square method
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)
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Title not available (Why is that?)
- On the Heston model with stochastic interest rates
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- A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models
- Efficient Monte Carlo pricing of European options using mean value control variates
- Estimating Security Price Derivatives Using Simulation
- Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- General closed-form basket option pricing bounds
- A martingale control variate method for option pricing with stochastic volatility
- An efficient control variate method for pricing variance derivatives
- Variance Reduction for Asian Options under a General Model Framework*
Cited In (4)
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