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The Heston Stochastic-Local Volatility Model : Efficient Monte Carlo Simulation

van der Stoep, Anthonie - 2018

In this article we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston (1993) enhanced by a non-parametric local volatility component. This hybrid model combines the main advantages of the Heston model and the local volatility model introduced by...

Persistent link: https://www.econbiz.de/10012938458

The price-bidding strategy for investors in a renewable auction : an option games-based study

Zhu, Lei; Li, Li; Su, Bin - In: Energy economics 100 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012939679

Variance Reduction and Efficiency of Monte Carlo Simulation in Financial Model

Soukher, Naima - 2017

the main operating techniques of the Monte Carlo simulation applied to finance. This article presents the Monte Carlo … method as part of the simulation of the stochastic model in finance. Note that the use of this method often represents an … estimators and consequently reduce the simulation time. A reduction of the variance can only be accomplished by means of …

Persistent link: https://www.econbiz.de/10012941551

Valuation of American Options : Monte-Carlo Simulation and Mathematical Approximation Methods

Animante, David - 2016

such as stochastic volatility, stochastic interest rate among others. Monte-Carlo simulation techniques therefore developed … results but in recent times, many researchers have demonstrated the efficacy of Monte-Carlo simulation in option pricing. The … aim of this study is to assess the effectiveness of Monte-Carlo simulation methods in comparison with other option pricing …

Persistent link: https://www.econbiz.de/10012993420

Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme

Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161

Persistent link: https://www.econbiz.de/10012588029

An applied approach to valuation of securitized balance sheet assets based on Monte Carlo Simulation with special reference to Turkish finance sector

Aksoy, Tamer; Yuzbasıoglu, Nuray - In: Financial ecosystem and strategy in the digital era : …, (pp. 379-398). 2021

Persistent link: https://www.econbiz.de/10012615121

Generic improvements to least squares monte carlo methods with applications to optimal stopping problems

Wei, Wei; Zhu, Dan - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1132-1144

Persistent link: https://www.econbiz.de/10013206929

A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets

Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela - In: Applied mathematical finance 28 (2021) 2, pp. 178-199

Persistent link: https://www.econbiz.de/10013171069

Monte Carlo Simulation in Financial Valuation

Pedersen, Magnus - 2014

This paper uses Monte Carlo simulation of a simple equity growth model with resampling of historical financial data to …

Persistent link: https://www.econbiz.de/10013062731

Efficient variance reduction for American call options using symmetry arguments

Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21

Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can …

Persistent link: https://www.econbiz.de/10012794352