Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

DOI10.1080/14697688.2020.1744700zbMath1454.91359arXiv1812.08533OpenAlexW3102476629MaRDI QIDQ5139245

Chiheb Ben Hammouda, Christian Bayer, Raúl Tempone

Publication date: 7 December 2020

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

Full work available at URL: https://arxiv.org/abs/1812.08533

zbMATH Keywords

Monte CarloRichardson extrapolationquasi-Monte Carloadaptive sparse gridsBrownian bridge constructionrough volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical quadrature and cubature formulas (65D32) Numerical integration (65D30)

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