Conditional Sampling for Barrier Option Pricing Under the Heston Model

DOI10.1007/978-3-642-41095-6_9zbMath1302.91192arXiv1207.6566OpenAlexW2102387432WikidataQ57778800 ScholiaQ57778800MaRDI QIDQ2926217

Nico Achtsis, Dirk Nuyens, Ronald Cools

Publication date: 31 October 2014

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.6566

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (9)

Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options ⋮ Smoothing the payoff for efficient computation of Basket option prices ⋮ An analytical approximation method for pricing barrier options under the double Heston model ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) ⋮ Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction ⋮ High dimensional integration of kinks and jumps -- smoothing by preintegration ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance

Uses Software

• Magic Point Shop

Cites Work

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• EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
• Conditioning on One-Step Survival for Barrier Option Simulations
• A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Constructing Embedded Lattice Rules for Multivariate Integration

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