Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets

DOI10.1002/cpa.21488zbMath1302.91193OpenAlexW2096919360MaRDI QIDQ2922151

Christian Bayer, Peter Laurence

Publication date: 9 October 2014

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.21488

zbMATH Keywords

asymptotic methodsheat kernel expansionimplied volatilityCEV modelnumerical pricingbasket option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Heat kernel (35K08)

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