BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES
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Publication:5221479
DOI10.1142/S021902492050003XzbMath1443.91296arXiv1907.00219OpenAlexW2995480943WikidataQ126560077 ScholiaQ126560077MaRDI QIDQ5221479
Michael A. Kouritzin, Anne MacKay
Publication date: 26 March 2020
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.00219
Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Combined multiplicative-Heston model for stochastic volatility ⋮ On explicit local solutions of Itô diffusions ⋮ Explicit solution simulation method for the 3/2 model
Cites Work
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- EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING
- Arbitrage Theory in Continuous Time
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†
- On a class of discrete generation interacting particle systems
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