Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Year of publication: |
2022
|
---|---|
Authors: | Guerreiro, Henrique ; Guerra, João |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2022, 3, p. 73-101
|
Subject: | VIX | rough volatility | stochastic Volterra models | least squares Monte Carlo (LSMC) | volatility of volatility | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Experiment | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Kleinste-Quadrate-Methode | Least squares method |
-
American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars, (2011)
-
Distributed least-squares Monte Carlo for American option pricing
Xiong, Lu, (2023)
-
Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe, (2021)
- More ...
-
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique, (2023)
-
Santos, André, (2015)
-
Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola, (2020)
- More ...