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Advanced Monte Carlo pricing of European options in a market model with two stochastic volatilities
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0139-0747
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0835-7536
Faculty of Sciences, Department of Mathematics and Computer Sciences,Eduardo Mondlane University, Box 257, Maputo, Mozambique.
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0003-4554-6528
2018 (English)In: Proceedings : 5th Stochastic Modeling Techniques and Data Analysis International Conference withDemographics Workshop (SMTDA2018) / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology, 2018, p. 409-422Conference paper, Published paper (Refereed)
Abstract [en]

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 methods 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.

Place, publisher, year, edition, pages
ISAST: International Society for the Advancement of Science and Technology, 2018. p. 409-422
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-43299OAI: oai:DiVA.org:mdh-43299DiVA, id: diva2:1313086
Conference
12 -15 June 2018, Cultural Centre of Chania, Crete, Greece
Available from: 2019-05-02 Created: 2019-05-02 Last updated: 2019-12-14Bibliographically approved

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Malyarenko, AnatoliyNi, YingSilvestrov, Sergei

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CiteExportLink to record
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Citation style
  • apa
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  • de-DE
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