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Multi-level Monte Carlo simulations with importance sampling
Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013
We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte Carlo significantly improves its effective...
Persistent link: https://www.econbiz.de/10010206934
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Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo; Chiarella, Carl; Kang, Boda - 2012
Persistent link: https://www.econbiz.de/10009632002
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Essays on foreign exchange option markets
Büsser, Ralf - 2012
pricing ; risk premium ; density forecast ; Kalman filter ; variance swap ; Lévy process ; stochastic volatility ; jump …
Persistent link: https://www.econbiz.de/10009656320
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Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18
This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …
Persistent link: https://www.econbiz.de/10012484130
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Option valuation in multivariate SABR models
Kienitz, Jörg; Wittke, Manuel - 2010
Persistent link: https://www.econbiz.de/10008662187
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Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan; Pakkanen, Mikko S. - In: Quantitative finance 18 (2018) 11, pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 20 (2020) 9, pp. 1457-1473
Persistent link: https://www.econbiz.de/10012295614
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A modified stochastic volatility model based on Gamma Ornstein-Uhlenbeck process and option pricing
Mi, Yanhui - In: International journal of financial engineering 3 (2016) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011577132
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Bayesian SVLEDEJ model for detecting jumps in logarithmic growth rates of one month forward gas contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 8 (2016) 3, pp. 161-179
Persistent link: https://www.econbiz.de/10011634897
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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221