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Advanced Monte Carlo pricing of european options in a market model with two stochastic volatilities
Eduardo Mondlane University, Maputo, Mozambique.
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)
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. (MAM)ORCID iD: 0000-0002-0835-7536
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2020 (English)In: Algebraic Structures and Applications / [ed] Sergei Silvestrov, Anatoliy Malyarenko, Milica Rancic, Springer Nature, 2020, Vol. 317, p. 857-874Chapter in book (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 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.

Place, publisher, year, edition, pages
Springer Nature, 2020. Vol. 317, p. 857-874
Series
Springer Proceedings in Mathematics and Statistics, ISSN 2194-1009, E-ISSN 2194-1017 ; 317
Keywords [en]
Stochastic volatility, Market model, Monte Carlo method
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-49454DOI: 10.1007/978-3-030-41850-2_36Scopus ID: 2-s2.0-85087530241ISBN: 9783030418496 (print)OAI: oai:DiVA.org:mdh-49454DiVA, id: diva2:1454242
Conference
International Conference on Stochastic Processes and Algebraic Structures, SPAS 2017, 4 October 2017 through 6 October 2017
Funder
Sida - Swedish International Development Cooperation AgencyAvailable from: 2020-07-15 Created: 2020-07-15 Last updated: 2020-10-01Bibliographically approved

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Ni, YingSilvestrov, Sergei

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Malyarenko, AnatoliyMurara, Jean-PaulNi, YingSilvestrov, Sergei
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf