A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
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Publication:1639548
DOI10.1016/j.cam.2018.03.045zbMath1461.91359OpenAlexW2802776018WikidataQ129928580 ScholiaQ129928580MaRDI QIDQ1639548
Publication date: 13 June 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.03.045
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Pricing of spread and exchange options in a rough jump-diffusion market ⋮ An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
Cites Work
- Pricing and hedging basket options with exact moment matching
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- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
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- Space-time adaptive finite difference method for European multi-asset options
- Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
- Quasi-Monte Carlo Methods in Numerical Finance
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- General closed-form basket option pricing bounds
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