IDEAS home Printed from https://ideas.repec.org/r/taf/quantf/v6y2006i6p513-536.html

Fast strong approximation Monte Carlo schemes for stochastic volatility models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Christopher Beveridge & Mark Joshi, 2011. "Monte Carlo Bounds for Game Options Including Convertible Bonds," Management Science, INFORMS, vol. 57(5), pages 960-974, May.
  2. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," CARF F-Series CARF-F-270, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jun 2012.
  3. Choi, Jaehyuk & Kwok, Yue Kuen, 2024. "Simulation schemes for the Heston model with Poisson conditioning," European Journal of Operational Research, Elsevier, vol. 314(1), pages 363-376.
  4. Mordecai Avriel & Jens Hilscher & Alon Raviv, 2013. "Inflation Derivatives Under Inflation Target Regimes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(10), pages 911-938, October.
  5. Alexander Lipton & Andrey Gal & Andris Lasis, 2013. "Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results," Papers 1312.5693, arXiv.org.
  6. Liu, Peng & Tang, Ke, 2011. "The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 211-224, March.
  7. Nicolas Langren'e & Geoffrey Lee & Zili Zhu, 2015. "Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model," Papers 1507.02847, arXiv.org, revised Mar 2016.
  8. Belomestny, Denis & Matthew, Stanley & Schoenmakers, John G. M., 2007. "A stochastic volatility libor model and its robust calibration," SFB 649 Discussion Papers 2007-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching To Nonaffine Stochastic Volatility: A Closed-Form Expansion For The Inverse Gamma Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-37, August.
  10. Christian Bayer & Chiheb Ben Hammouda & Raul Tempone, 2020. "Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities," Papers 2003.05708, arXiv.org, revised Oct 2023.
  11. Dell'Era, Mario, 2010. "Geometrical Considerations on Heston's Market Model," MPRA Paper 21523, University Library of Munich, Germany.
  12. Damien Ackerer & Damir Filipovic, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Papers 1711.09193, arXiv.org, revised May 2019.
  13. Dell'Era, Mario, 2010. "Vanilla Option Pricing on Stochastic Volatility market models," MPRA Paper 25645, University Library of Munich, Germany.
  14. Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
  15. S. T. Tse & Justin W. L. Wan, 2013. "Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 919-937, May.
  16. Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.
  17. Michael A. Kouritzin, 2016. "Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing," Papers 1608.02028, arXiv.org, revised Apr 2018.
  18. Alexander Lipton & Andrey Gal & Andris Lasis, 2014. "Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1899-1922, November.
  19. Eduardo Abi Jaber, 2024. "Simulation of square-root processes made simple: applications to the Heston model," Papers 2412.11264, arXiv.org, revised Jun 2025.
  20. Eric Djeutcha & Jules Sadefo Kamdem, 2024. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model," Annals of Operations Research, Springer, vol. 334(1), pages 101-131, March.
  21. repec:dau:papers:123456789/5524 is not listed on IDEAS
  22. Damien Ackerer & Damir Filipović, 2020. "Option pricing with orthogonal polynomial expansions," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 47-84, January.
  23. Michael A. Kouritzin, 2018. "Explicit Heston Solutions And Stochastic Approximation For Path-Dependent Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-45, February.
  24. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," Papers 1202.0608, arXiv.org, revised Sep 2012.
  25. Nikolaos Halidias & Ioannis Stamatiou, 2015. "Approximating explicitly the mean reverting CEV process," Papers 1502.03018, arXiv.org, revised May 2015.
  26. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1, July-Dece.
  27. Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019. "Decomposition formula for rough Volterra stochastic volatility models," Papers 1906.07101, arXiv.org, revised Aug 2019.
  28. Nan Chen & Zhengyu Huang, 2013. "Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 591-616, August.
  29. Paul Glasserman & Kyoung-Kuk Kim, 2011. "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, vol. 15(2), pages 267-296, June.
  30. Xavier Warin, 2021. "Deep learning for efficient frontier calculation in finance," Papers 2101.02044, arXiv.org, revised Feb 2022.
  31. Andreas Neuenkirch & Lukasz Szpruch, 2012. "First order strong approximations of scalar SDEs with values in a domain," Papers 1209.0390, arXiv.org.
  32. Dell'Era, Mario, 2010. "Geometrical Approximation method and stochastic volatility market models," MPRA Paper 22568, University Library of Munich, Germany.
  33. Jaehyuk Choi & Yue Kuen Kwok, 2023. "Simulation schemes for the Heston model with Poisson conditioning," Papers 2301.02800, arXiv.org, revised Nov 2023.
  34. Ostap Okhrin & Michael Rockinger & Manuel Schmid, 2025. "Observations concerning the estimation of Heston’s stochastic volatility model using HF data," Statistical Papers, Springer, vol. 66(4), pages 1-23, June.
  35. Roger Lord & Christian Kahl, 2006. "Why the Rotation Count Algorithm works," Tinbergen Institute Discussion Papers 06-065/2, Tinbergen Institute.
  36. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2022. "Market and model risks: a feasible joint estimate methodology," Risk Management, Palgrave Macmillan, vol. 24(3), pages 187-213, September.
  37. Annalena Mickel & Andreas Neuenkirch, 2021. "The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model," Risks, MDPI, vol. 9(1), pages 1-38, January.
  38. Carole Bernard & Andrea Perchiazzo & Steven Vanduffel, 2024. "Implied value-at-risk and model-free simulation," Annals of Operations Research, Springer, vol. 336(1), pages 925-943, May.
  39. repec:hum:wpaper:sfb649dp2007-067 is not listed on IDEAS
  40. Bégin Jean-François & Bédard Mylène & Gaillardetz Patrice, 2015. "Simulating from the Heston model: A gamma approximation scheme," Monte Carlo Methods and Applications, De Gruyter, vol. 21(3), pages 205-231, September.
  41. Benjamin Jourdain & Mohamed Sbai, 2013. "High order discretization schemes for stochastic volatility models," Post-Print hal-00409861, HAL.
  42. Christian Bayer & Chiheb Ben Hammouda & Ra'ul Tempone, 2021. "Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing," Papers 2111.01874, arXiv.org, revised Jun 2022.
  43. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2007, January-A.
  44. Eduardo Abi Jaber, 2024. "Simulation of square-root processes made simple: applications to the Heston model," Post-Print hal-04839193, HAL.
  45. Michael Sekatchev & Zhengxiang Zhou, 2024. "Stochastic Approaches to Asset Price Analysis," Papers 2407.06745, arXiv.org.
  46. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2019. "Numerical Stability Of A Hybrid Method For Pricing Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-46, November.
  47. Mascagni Michael & Hin Lin-Yee, 2013. "Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 77-105, July.
  48. Conlon, Thomas & Cotter, John & Kovalenko, Illia & Post, Thierry, 2023. "A financial modeling approach to industry exchange-traded funds selection," Journal of Empirical Finance, Elsevier, vol. 74(C).
  49. Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010. "A comparison of biased simulation schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 177-194.
  50. Chang-Han Rhee & Peter W. Glynn, 2015. "Unbiased Estimation with Square Root Convergence for SDE Models," Operations Research, INFORMS, vol. 63(5), pages 1026-1043, October.
  51. Mishra, SK, 2007. "Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program," MPRA Paper 2000, University Library of Munich, Germany.
  52. Wenbin Hu & Junzi Zhou, 2017. "Backward simulation methods for pricing American options under the CIR process," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1683-1695, November.
  53. Shunwei Zhu & Bo Wang, 2019. "Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1421-1442, April.
  54. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," CIRJE F-Series CIRJE-F-840, CIRJE, Faculty of Economics, University of Tokyo.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.