Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion

DOI10.1080/00207160.2013.866654zbMath1307.91191OpenAlexW2001489507MaRDI QIDQ2931944

Jun Mei Ma, Cheng-long Xu

Publication date: 28 November 2014

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.866654

zbMATH Keywords

Monte Carlostochastic volatilitycontrol variatevariance derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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