An efficient control variate method for pricing variance derivatives

DOI10.1016/J.CAM.2010.05.017MaRDI QIDQ711233zbMATHOpenAlexFDO

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

zbMATH Keywords

control variateMonte Carlo methodstochastic volatilityvariance swap

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Large Sample Properties of Weighted Monte Carlo Estimators
• MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
• Pricing options on realized variance
• Stock price distributions with stochastic volatility: an analytic approach
• The Valuation of Volatility Options
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

Cited in

(12)

• Monte Carlo acceleration algorithm of pricing switch corridor variance swap
• A martingale control variate method for option pricing with stochastic volatility
• A multilevel approach to control variates
• A new options pricing method: semi-stochastic kernel regression method with constraints
• Variance derivatives pricing and control variate Monte Carlo method
• Pricing accelerated simulation theory of generalized autoregressive conditional heteroskedasticity model
• A closed-form formula for pricing variance swaps on commodities
• An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
• Least-square-based control variate method for pricing options under general factor models
• A new hybrid Monte Carlo simulation for Asian options pricing
• An efficient exponential twisting importance sampling technique for pricing financial derivatives
• Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion

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