RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL

DOI10.1142/S021902490800507XzbMath1175.91170MaRDI QIDQ3621565

Fabio Antonelli, Valentina Prezioso

Publication date: 21 April 2009

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

zbMATH Keywords

stochastic volatilityMonte Carlo methodEuler methodHobson-Rogers model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Robustness for path-dependent volatility models

Cites Work

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• The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• On the complete model with stochastic volatility by Hobson and Rogers
• The Malliavin Calculus and Related Topics
• Complete Models with Stochastic Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION

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