Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
From MaRDI portal
Publication:5139245
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
Monte CarloRichardson extrapolationquasi-Monte Carloadaptive sparse gridsBrownian bridge constructionrough volatility
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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