A mixed PDE/Monte-Carlo method for stochastic volatility models

DOI10.1016/j.crma.2009.02.021zbMath1168.91018OpenAlexW2065741784MaRDI QIDQ1018129

Olivier Pironneau, Grégoire Loeper

Publication date: 13 May 2009

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2009.02.021

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (8)

Isogeometric analysis in option pricing ⋮ Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ Mixing Monte-Carlo and partial differential equations for pricing options ⋮ Pricing options under stochastic volatility jump model: a stable adaptive scheme ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance ⋮ Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results ⋮ A finite volume–alternating direction implicit method for the valuation of American options under the Heston model

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The Mathematics of Financial Derivatives
• Computational Methods for Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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