Coupling index and stocks

DOI10.1080/14697681003785959zbMath1278.91113arXiv0911.2834OpenAlexW2163723725MaRDI QIDQ2869971

Mohamed Karim Sbai, Benjamin Jourdain

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.2834

zbMATH Keywords

stochastic volatilityMonte Carlo methodsnumerical simulationmodel calibrationequitiesimplied volatilitiescorrelation modelling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Implied Volatility of Basket Options at Extreme Strikes ⋮ THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION ⋮ STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS ⋮ A model-free approach to multivariate option pricing ⋮ EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS ⋮ The multivariate Variance Gamma model: basket option pricing and calibration

Cites Work

• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Propagation and conditional propagation of chaos for pressureless gas equations
• A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
• Why is the Index Smile So Steep? *
• An inverse parabolic problem arising in finance
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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