An efficient control variate method for pricing variance derivatives
type: Item
instance of: scholarly article
title: An efficient control variate method for pricing variance derivatives
zbMATH Open document ID: 1197.91186
published in: Journal of Computational and Applied Mathematics
publication date: 2010-10-25T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35C05
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5804870
zbMATH Keywords: variance swap
zbMATH Keywords: stochastic volatility
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: control variate
author: Jun Mei Ma
author: Chenglong Xu
MaRDI profile type: Publication
full work available at URL: j.cam.2010.05.017
OpenAlex ID: W2111582907
cites work: Q4794126
cites work: The Valuation of Volatility Options
cites work: Pricing options on realized variance
cites work: Q4433608
cites work: MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
cites work: A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
cites work: WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
cites work: Large Sample Properties of Weighted Monte Carlo Estimators
cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
DOI: 10.1016/J.CAM.2010.05.017
description: scientific article; zbMATH DE number 5804870