Variance reduction for Monte Carlo simulation in a stochastic volatility environment
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- scientific article; zbMATH DE number 1079018 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- Singular Perturbations in Option Pricing
- Statistical methods in finance
- Variance Reduction for Simulated Diffusions
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(26)- A mixed PDE/Monte-Carlo method for stochastic volatility models
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- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
- Option pricing for stochastic volatility models: vol-of-vol expansion
- The weighted variance minimization in jump-diffusion stochastic volatility models
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- JDOI variance reduction method and the pricing of American-style options
- Variance reduction approach for the volatility over a finite-time horizon
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- Options pricing for several maturities in a jump-diffusion model
- Minimum variance importance samplingviaPopulation Monte Carlo
- New acceleration schemes with the asymptotic expansion in Monte Carlo simulation
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Large and moderate deviations for importance sampling in the Heston model
- Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation
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