Mixing Monte Carlo and partial differential equations for pricing options

DOI10.1007/978-3-642-41401-5_13MaRDI QIDQ5261574zbMATH OpenOpenAlexFDO

Authors Tobias Lipp, Grégoire Loeper, Olivier Pironneau

Publication date 6 July 2015

Published in Partial Differential Equations: Theory, Control and Approximation (Search for Journal in Brave)

Full work available at URL https://hal.sorbonne-universite.fr/hal-01558826/file/lipploeperop.pdf

zbMATH Keywords

financial mathematicsHeston modelMonte Carlooption pricingpartial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(6)

• A mixed PDE/Monte-Carlo method for stochastic volatility models
• Mixing Monte-Carlo and partial differential equations for pricing options
• Option pricing via Monte Carlo simulation. A weak derivative approach
• Monte-Carlo method for option pricing in sub-diffusive arithmetic models
• A fast Monte Carlo scheme for additive processes and option pricing
• On stochastic partial differential equations and their applications to derivative pricing through a conditional Feynman-Kac formula

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