Pricing barrier options in the Heston model using the Heath-Platen estimator

DOI10.1515/MCMA-2018-0004zbMath1408.91232OpenAlexW2792615899MaRDI QIDQ1746428

Sema Coskun, Ralf Korn

Publication date: 25 April 2018

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2018-0004

zbMATH Keywords

barrier option pricingHeston stochastic volatility modelHeath-Platen estimator

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

JDOI variance reduction method and the pricing of American-style options ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) ⋮ Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge ⋮ A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion

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