Turbocharging Monte Carlo pricing for the rough Bergomi model

DOI10.1080/14697688.2018.1459812zbMath1406.91486arXiv1708.02563OpenAlexW2963230864MaRDI QIDQ4619528

Mikko S. Pakkanen, Ryan McCrickerd

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.02563

zbMATH Keywords

Monte Carlooption pricingvariance reductionimplied volatilityrough volatility

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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