Advanced Monte Carlo pricing of european options in a market model with two stochastic volatilities

• 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.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Stochastic volatility

Market model

Monte Carlo method

Mathematics/Applied Mathematics

matematik/tillämpad matematik

Publikations- och innehållstyp

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