Mixing Monte Carlo and partial differential equations for pricing options

DOI10.1007/978-3-642-41401-5_13zbMATH Open1315.91071OpenAlexW2800943300MaRDI QIDQ5261574FDOQ5261574

Olivier Pironneau, Grégoire Loeper, Tobias Lipp

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

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zbMATH Keywords

Monte Carlooption pricingfinancial mathematicspartial differential equationsHeston model

Mathematics Subject Classification ID

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

Cited In (3)

• 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

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