A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

DOI10.1142/S0219024912500161zbMath1282.91374MaRDI QIDQ2882692

Hans van der Weide, Bin Chen, Cornelis W. Oosterlee

Publication date: 7 May 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Monte Carlointegrated variancediscretization schemeSABR modelsmall noise expansionsquare Bessel process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70)

Related Items

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems ⋮ Optimal investment strategies for general utilities under dynamic elasticity of variance models ⋮ On an efficient multiple time step Monte Carlo simulation of the SABR model ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Dirichlet Forms and Finite Element Methods for the SABR Model ⋮ On the data-driven COS method ⋮ Stochastic local volatility models and the Wei-Norman factorization method ⋮ SABR equipped with AI wings ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ A Highly Efficient Numerical Method for the SABR Model ⋮ Least-squares Monte-Carlo methods for optimal stopping investment under CEV models ⋮ Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs ⋮ A path-independent approach to integrated variance under the CEV model ⋮ On a one time-step Monte Carlo simulation approach of the SABR model: application to European options ⋮ Semi-closed form cubature and applications to financial diffusion models ⋮ The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions ⋮ The principle of not feeling the boundary for the SABR model

Cites Work

• Moment explosions in stochastic volatility models
• The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
• ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
• EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Volatility skews and extensions of the Libor market model
• A comparison of biased simulation schemes for stochastic volatility models
• Approximations to the non-central chi-square distribution
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL