CAM stochastic volatility model for option pricing

DOI10.1155/2016/5496945zbMath1400.91595OpenAlexW2346729281WikidataQ59131610 ScholiaQ59131610MaRDI QIDQ1793313

Wanwan Huang, Giray Ökten, B. D. Ewald

Publication date: 12 October 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/5496945

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• MersenneTwister

Cites Work

• The Pricing of Options and Corporate Liabilities
• Stochastic calculus for finance. II: Continuous-time models.
• Mersenne twister
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• High-performance financial simulation using randomized quasi-Monte Carlo methods
• Multiscale Stochastic Volatility Asymptotics
• Random and Deterministic Digit Permutations of the Halton Sequence
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• A martingale control variate method for option pricing with stochastic volatility
• Unnamed Item
• Unnamed Item

This page was built for publication: CAM stochastic volatility model for option pricing