Monte Carlo calibration to implied volatility surface under volatility models

DOI10.1007/s13160-017-0270-zzbMath1411.91621OpenAlexW2761426263MaRDI QIDQ1684770

Chuan-Hsiang Han, Chien-Liang Kuo

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0270-z

zbMATH Keywords

Fourier transform methodMonte Carlo simulationhybrid modelimplied volatility surfaceGPU parallel computingmartingale control variatemulti-factor stochastic volatility modelstandard error reduction

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation

Cites Work

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