Variance reduction for multiple option parameters

MaRDI QIDQ3607211zbMATH OpenFDO

Authors Anatoly Gormin, Yuriĭ Nikolaevich Kashtanov

Publication date 28 February 2009

zbMATH Keywords

diffusion modeloption pricing with multiple parametersvariance reduction

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Recommendations

• The weighted variance minimization in jump-diffusion stochastic volatility models
• Variance reduction for Monte Carlo simulation in a stochastic volatility environment
• The weighted variance minimization for options pricing
• Efficient Monte Carlo pricing of European options using mean value control variates
• Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

Cited in

(4)

• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• The weighted variance minimization in jump-diffusion stochastic volatility models
• Options pricing for several maturities in a jump-diffusion model
• The weighted variance minimization for options pricing

This page was built for publication: Variance reduction for multiple option parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3607211)