IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS

DOI10.1142/S021902490900518XzbMath1183.91183OpenAlexW3125571709MaRDI QIDQ5324399

Christian-Oliver Ewald, Zhaojun Yang, Yajun Xiao

Publication date: 3 August 2009

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

Full work available at URL: https://doi.org/10.1142/s021902490900518x

zbMATH Keywords

Monte Carlo simulationcalibrationAsian optionsimplied volatilityexotic optionslocal volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• BRENT

Cites Work

• The Malliavin gradient method for the calibration of stochastic dynamical models
• A new formula for computing implied volatility
• Financial Modelling with Jump Processes
• An Introduction to Financial Option Valuation
• A new technique for calibrating stochastic volatility models: the Malliavin gradient method
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