Sample path large deviations and optimal importance sampling for stochastic volatility models

DOI10.1016/j.spa.2009.10.010zbMath1181.60041OpenAlexW2171996111MaRDI QIDQ2654160

Scott Robertson

Publication date: 15 January 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.10.010

zbMATH Keywords

importance samplingstochastic volatilityMonte Carlo methodslarge deviationsvariance reduction

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (17)

Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models ⋮ Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) ⋮ Importance sampling for McKean-Vlasov SDEs ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ Pathwise large deviations for the rough Bergomi model ⋮ The large-maturity smile for the Heston model ⋮ Precise asymptotics: robust stochastic volatility models ⋮ General Freidlin-Wentzell large deviations and positive diffusions ⋮ Optimal importance sampling for Lévy processes ⋮ Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal importance sampling with explicit formulas in continuous time
• A function space large deviation principle for certain stochastic integrals
• Application of large deviation methods to the pricing of index options in finance.
• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Computing the implied volatility in stochastic volatility models
• Diffusion processes in a small time interval
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Some Applications and Methods of Large Deviations in Finance and Insurance
• Some Asymptotic Formulas for Wiener Integrals
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations

This page was built for publication: Sample path large deviations and optimal importance sampling for stochastic volatility models