A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps

DOI10.1080/13504860701255359zbMath1151.91492OpenAlexW3122875115MaRDI QIDQ5440089

Carl Chiarella, Erik Schlögl, Christina Nikitopoulos Sklibosios

Publication date: 31 January 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701255359

zbMATH Keywords

Monte Carlo simulationsjump processcontrol variateHJM modelbond option prices

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (1)

An efficient control variate method for pricing variance derivatives

Cites Work

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• The Term Structure of Simple Forward Rates with Jump Risk
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities

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