Advanced Monte Carlo pricing of European options in a market model with two stochastic volatilities

DOI10.1007/978-3-030-41850-2_36zbMath1471.91616OpenAlexW2946774715MaRDI QIDQ1980756

Betuel Canhanga, Jean-Paul Murara, Ying Ni, Anatoliy Malyarenko, Sergei D. Silvestrov

Publication date: 8 September 2021

Full work available at URL: https://doi.org/10.1007/978-3-030-41850-2_36

zbMATH Keywords

stochastic volatilityMonte Carlo methodmarket model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical quadrature and cubature formulas (65D32)

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