A mixed PDE/Monte-Carlo method for stochastic volatility models
type: Item
instance of: scholarly article
title: A mixed PDE/Monte-Carlo method for stochastic volatility models
zbMATH Open document ID: 1168.91018
author: Grégoire Loeper
author: Olivier Pironneau
published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris
publication date: 2009-05-13T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5553625
MaRDI profile type: Publication
full work available at URL: j.crma.2009.02.021
OpenAlex ID: W2065741784
cites work: Computational Methods for Option Pricing
cites work: The pricing of options and corporate liabilities
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Q4433608
cites work: The Mathematics of Financial Derivatives
DOI: 10.1016/J.CRMA.2009.02.021
description: scientific article; zbMATH DE number 5553625