NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS

DOI10.1142/S0219024912500471zbMath1255.91425OpenAlexW3123346882MaRDI QIDQ4902542

Carole Bernard, Donald L. McLeish, Zhen-Yu Cui

Publication date: 16 January 2013

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

Full work available at URL: https://doi.org/10.1142/s0219024912500471

zbMATH Keywords

importance samplingcharacteristic functionMonte Carlo simulationsHeston stochastic volatility modelFourier inversionParisian optionforward-start 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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Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes ⋮ Spline local basis methods for nonparametric density estimation ⋮ INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS ⋮ Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates ⋮ Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model ⋮ Semi-analytical prices for lookback and barrier options under the Heston model ⋮ Conditional quantiles and tail dependence

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