Options Pricing for Several Maturities in a Jump-Diffusion Model

DOI10.1007/978-3-642-27440-4_20zbMath1270.91094OpenAlexW156813558MaRDI QIDQ5326118

Anatoly Gormin, Yuri N. Kashtanov

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_20

zbMATH Keywords

efficiencyjump-diffusion modelminimal weighted variance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Theory of stochastic differential equations with jumps and applications.
• A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING
• The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models
• Variance Reduction for Simulated Diffusions
• Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
• Variance reduction for Monte Carlo simulation in a stochastic volatility environment
• Financial Modelling with Jump Processes
• The weighted variance minimization for options pricing

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