Efficient Monte Carlo option pricing under CEV model
DOI10.1080/03610918.2015.1040497zbMATH Open1369.35097OpenAlexW2470005471MaRDI QIDQ5267914FDOQ5267914
Author name not available (Why is that?)
Publication date: 13 June 2017
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2015.1040497
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Brownian motion (60J65) Solutions to PDEs in closed form (35C05)
Cites Work
- The pricing of options and corporate liabilities
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- A reliable numerical method to price arithmetic Asian options
- Empirical analysis and calibration of the CEV process for pricing equity default swaps
- Estimating Security Price Derivatives Using Simulation
- Monte Carlo Methods and Models in Finance and Insurance
- Pricing Asian options in a stochastic volatility model with jumps
- On subextension of pluriharmonic and plurisubharmonic functions
- Control variates and conditional Monte Carlo for basket and Asian options
- Title not available (Why is that?)
Cited In (6)
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- CEV model equipped with the long-memory
- Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
- An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
- Approximation of Non-Lipschitz SDEs by Picard Iterations
- Pricing multi-asset American option under Heston-CIR diffusion model with jumps
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