Efficient Monte Carlo option pricing under CEV model

DOI10.1080/03610918.2015.1040497zbMath1369.35097OpenAlexW2470005471MaRDI QIDQ5267914

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Publication date: 13 June 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1040497

zbMATH Keywords

Monte Carlo simulationvariance reductionAsian optionCEV model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Solutions to PDEs in closed form (35C05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (5)

Approximation of Non-Lipschitz SDEs by Picard Iterations ⋮ Pricing multi-asset American option under Heston-CIR diffusion model with jumps ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ CEV model equipped with the long-memory ⋮ Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A reliable numerical method to price arithmetic Asian options
• Pricing Asian options in a stochastic volatility model with jumps
• On subextension of pluriharmonic and plurisubharmonic functions
• Control variates and conditional Monte Carlo for basket and Asian options
• Empirical analysis and calibration of the CEV process for pricing equity default swaps
• Estimating Security Price Derivatives Using Simulation
• Monte Carlo Methods and Models in Finance and Insurance

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