European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk …-minimizing strategy. Furthermore, since the mean-variance tradeoff process is deterministic in our setup, the minimal martingale- and … variance-optimal martingale measures coincide. Consequently, the mean-variance optimal strategy is easily constructed. Simple …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

Abstract In this paper, we apply importance sampling to Heston's stochastic volatility model and Bates's stochastic … volatility model with jumps. We propose an effective numerical scheme that dramatically improves the speed of importance sampling …