Efficient Monte Carlo option pricing under CEV model

DOI10.1080/03610918.2015.1040497MaRDI QIDQ5267914zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

variance reductionMonte Carlo simulationCEV modelAsian option

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• A randomized algorithm for estimating the condition number of matrices
• A reliable numerical method to price arithmetic Asian options
• Control variates and conditional Monte Carlo for basket and 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.
• On subextension of pluriharmonic and plurisubharmonic functions
• Pricing Asian options in a stochastic volatility model with jumps
• The pricing of options and corporate liabilities

Cited in

(11)

• Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
• A multiquadric quasi-interpolations method for CEV option pricing model
• Simulation of the CEV process and the local martingale property
• Arithmetic average Asian options with stochastic elasticity of variance
• CEV model equipped with the long-memory
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• Monte Carlo simulation pricing for algorithm average Asian option under the stochastic volatility model
• Pricing multi-asset American option under Heston-CIR diffusion model with jumps
• An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
• Approximation of non-Lipschitz SDEs by Picard iterations
• Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods

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