Efficient Monte Carlo simulation of security prices

DOI10.1214/aoap/1177004598zbMath0877.65099OpenAlexW2017829019MaRDI QIDQ1916475

Publication date: 27 November 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177004598

zbMATH Keywords

convergence option pricing Monte Carlo methods finance security prices stochastic differential equations of Itô type

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items

The Euler scheme with irregular coefficients, A multi-level dimension reduction Monte-Carlo method for jump-diffusion models, Asymptotic properties of Monte Carlo estimators of diffusion processes, EXACT SIMULATION OF THE 3/2 MODEL, Multi-level stochastic approximation algorithms, A Gaussian approximation scheme for computation of option prices in stochastic volatility models, Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators, Coupling importance sampling and multilevel Monte Carlo using sample average approximation, An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis, Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations, Monte Carlo methods for security pricing, On the Acceleration of the Multi-Level Monte Carlo Method, Unbiased Monte Carlo estimate of stochastic differential equations expectations, Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case, Brownian meanders, importance sampling and unbiased simulation of diffusion extremes, Multilevel Monte Carlo simulation for the Heston stochastic volatility model, Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps, On inference for fractional differential equations, EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING, Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks, Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model, Convergence of the stochastic Euler scheme for locally Lipschitz coefficients, Gamma expansion of the Heston stochastic volatility model, Multilevel Monte Carlo for stochastic differential equations with additive fractional noise, Filtered likelihood for point processes, Multilevel hybrid split-step implicit tau-leap, Monte Carlo computation of optimal portfolios in complete markets, Limit theorems for weighted and regular multilevel estimators, Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes, Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff, Central limit theorem for the multilevel Monte Carlo Euler method, Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs, Randomness in a mathematical model for the transmission of respiratory syncytial virus (RSV), Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing, A comparison of biased simulation schemes for stochastic volatility models, Efficient estimation and filtering for multivariate jump-diffusions, BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS, Implementing de-biased estimators using mixed sequences, Simulated likelihood estimators for discretely observed jump-diffusions, Unnamed Item, Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations, Unbiased Estimation with Square Root Convergence for SDE Models, Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation, Predicting integrals of diffusion processes with unknown diffusion parameters, Sensitivity Analysis for Monte Carlo Simulation of Option Pricing, An optimal control variance reduction method for density estimation, Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations, A new hybrid Monte Carlo simulation for Asian options pricing, Monte Carlo methods for derivatives of options with discontinuous payoffs, Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate, Multilevel path simulation to jump-diffusion process with superlinear drift, Series Expansions and Direct Inversion for the Heston Model, CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL, Exact simulation of Ornstein–Uhlenbeck tempered stable processes, Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations, Computing Bayesian Means Using Simulation