IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-642-04107-5_24.html
   My bibliography  Save this book chapter

The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models

In: Monte Carlo and Quasi-Monte Carlo Methods 2008

Author

Listed:
  • Anatoly Gormin

    (Saint-Petersburg State University, Faculty of Mathematics and Mechanics, Department of Statistical Simulation)

  • Yuri Kashtanov

Abstract

The Monte Carlo method is applied to estimation of options in the case of a stochastic volatility model with jumps. An option contract has a number of parameters like a strike, an exercise date, etc. Estimators of option prices with different values of its parameters are constructed on the same trajectories of the underlying asset price process. The problem of minimization of the weighted sum of their variances is considered. Optimal estimators with minimal weighted variance are pointed out. Their approximations are applied to variance reduction.

Suggested Citation

  • Anatoly Gormin & Yuri Kashtanov, 2009. "The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 383-394, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-04107-5_24
    DOI: 10.1007/978-3-642-04107-5_24
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-642-04107-5_24. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.