An efficient control variate method for pricing variance derivatives
DOI10.1016/J.CAM.2010.05.017zbMATH Open1197.91186OpenAlexW2111582907MaRDI QIDQ711233FDOQ711233
Authors: Jun Mei Ma, Chenglong Xu 
Publication date: 25 October 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.05.017
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Solutions to PDEs in closed form (35C05)
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Pricing options on realized variance
- The Valuation of Volatility Options
- WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
- MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
- Large Sample Properties of Weighted Monte Carlo Estimators
- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
Cited In (10)
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
- A new hybrid Monte Carlo simulation for Asian options pricing
- A new options pricing method: semi-stochastic kernel regression method with constraints
- A closed-form formula for pricing variance swaps on commodities
- An efficient exponential twisting importance sampling technique for pricing financial derivatives
- A martingale control variate method for option pricing with stochastic volatility
- Least-square-based control variate method for pricing options under general factor models
- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
- A multilevel approach to control variates
- Variance derivatives pricing and control variate Monte Carlo method
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