Turbocharging Monte Carlo pricing for the rough Bergomi model
Year of publication: |
2018
|
---|---|
Authors: | McCrickerd, Ryan ; Pakkanen, Mikko S. |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 11, p. 1877-1886
|
Subject: | Implied volatility | Monte Carlo | Option pricing | Rough volatility | Variance reduction | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
-
Bayer, Christian, (2020)
-
Static hedging of standard options
Carr, Peter, (2014)
-
A modified stochastic volatility model based on Gamma Ornstein-Uhlenbeck process and option pricing
Mi, Yanhui, (2016)
- More ...
-
Inflation-Linked Delayed Payment Convexity Adjustment
McCrickerd, Ryan, (2016)
-
BCVA with Stochastic Credit Models
McCrickerd, Ryan, (2017)
-
Uncollateralised Interest Rate Swap xVA
McCrickerd, Ryan, (2016)
- More ...