A martingale control variate method for option pricing with stochastic volatility

DOI10.1051/ps:2007005zbMath1182.91173OpenAlexW2089379426MaRDI QIDQ5429590

Chuan-Hsiang Han, Jean-Pierre Fouque

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__40_0

zbMATH Keywords

Monte Carlostochastic volatilityoption pricingcontrol variatesmultiscale asymptotics

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Least-square-based control variate method for pricing options under general factor models ⋮ Efficient multiple control variate method with applications to exotic option pricing ⋮ Monte Carlo calibration to implied volatility surface under volatility models ⋮ A smooth estimator for MC/QMC methods in finance ⋮ CAM stochastic volatility model for option pricing ⋮ VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

Cites Work

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• An analysis of a least squares regression method for American option pricing
• Stochastic Volatility Effects on Defaultable Bonds
• Multiscale Stochastic Volatility Asymptotics
• The Mathematics of Financial Derivatives
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Stochastic differential equations. An introduction with applications.