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Advanced Monte Carl...
Advanced Monte Carlo pricing of european options in a market model with two stochastic volatilities
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- Canhanga, Betuel (author)
- Eduardo Mondlane University, Maputo, Mozambique
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- Malyarenko, Anatoliy, 1957- (author)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
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- Murara, Jean-Paul, 1978- (author)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
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- Ni, Ying, 1976- (author)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
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- Silvestrov, Sergei, Professor, 1970- (author)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
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(creator_code:org_t)
- 2020-06-19
- 2020
- English.
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In: Algebraic Structures and Applications. - Cham : Springer Nature. - 9783030418496 ; , s. 857-874
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
Close
- We consider a market model with four correlated factors and two stochastic volatilities, one of which is rapid-changing, while another one is slow-changing in time. An advanced Monte Carlo method based on the theory of cubature in Wiener space is used to find the no-arbitrage price of the European call option in the above model.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Stochastic volatility
- Market model
- Monte Carlo method
- Mathematics/Applied Mathematics
- matematik/tillämpad matematik
Publication and Content Type
- ref (subject category)
- kap (subject category)
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