Mixing Monte-Carlo and partial differential equations for pricing options

DOI10.1007/s11401-013-0763-2zbMath1264.91139OpenAlexW1985776094MaRDI QIDQ1951209

Grégoire Loeper, Tobias Lipp, Olivier Pironneau

Publication date: 29 May 2013

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://hal.sorbonne-universite.fr/hal-01558826/file/lipploeperop.pdf

zbMATH Keywords

Monte Carlooption pricingpartial differential equationsfinancial mathematicsHeston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

Isogeometric analysis in option pricing ⋮ A Multi-Level Monte-Carlo with FEM for XVA in European Options ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

Uses Software

• FreeFem++

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• A mixed PDE/Monte-Carlo method for stochastic volatility models
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• The Mathematics of Financial Derivatives
• Computational Methods for Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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