PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE

DOI10.1142/S0219024907004081zbMath1291.91229MaRDI QIDQ3444863

R. N. Makarov, Giuseppe Campolieti

Publication date: 5 June 2007

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

zbMATH Keywords

option pricingMonte Carlo methodsvariance reductionpath integrationhypergeometricBessel and CEV diffusion processesbridge sampling algorithms

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL ⋮ Adaptive multidimensional integration: \textsc{vegas} enhanced ⋮ Time Series Analysis and Calibration to Option Data: A Study of Various Asset Pricing Models ⋮ Path integral pricing of Asian options on state-dependent volatility models ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS ⋮ Exact simulation of Bessel diffusions

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