Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

DOI10.1080/14697680400020317zbMath1405.91692OpenAlexW2054182530MaRDI QIDQ4610269

Chuan-Hsiang Han, Jean-Pierre Fouque

Publication date: 15 January 2019

Full work available at URL: https://doi.org/10.1080/14697680400020317

zbMATH Keywords

Monte Carlostochastic volatilityvariance reductionEuropean and Asian options

Mathematics Subject Classification ID

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

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• Variance reduction for Monte Carlo simulation in a stochastic volatility environment
• Pricing Asian options with stochastic volatility
• Multiscale Stochastic Volatility Asymptotics

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