On pricing of discrete Asian and Lookback options under the Heston model

DOI10.1080/00207160.2024.2363467MaRDI QIDQ6625112

[[Person:6625111|Author name not available (Why is that?)]], Lech A. Grzelak

Publication date: 28 October 2024

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Cites Work

• Error bounds for approximation in Chebyshev points
• Chebyshev interpolation for parametric option pricing
• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• Error bounds for approximations with deep ReLU networks
• Moment explosions in stochastic volatility models
• Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
• On the equivalence of floating- and fixed-strike Asian options
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Lookback options with discrete and partial monitoring of the underlying price
• Mathematical Modeling and Computation in Finance
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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