An efficient control variate method for pricing variance derivatives
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Publication:711233
DOI10.1016/J.CAM.2010.05.017zbMath1197.91186OpenAlexW2111582907MaRDI QIDQ711233
Publication date: 25 October 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.05.017
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Solutions to PDEs in closed form (35C05)
Related Items (7)
Least-square-based control variate method for pricing options under general factor models ⋮ A closed-form formula for pricing variance swaps on commodities ⋮ Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion ⋮ A new options pricing method: semi-stochastic kernel regression method with constraints ⋮ A new hybrid Monte Carlo simulation for Asian options pricing ⋮ An efficient exponential twisting importance sampling technique for pricing financial derivatives ⋮ An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
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- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
- MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
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