A Mixed Monte Carlo and Partial Differential Equation Variance Reduction Method for Foreign Exchange Options Under the Heston–Cox–Ingersoll–Ross Model
暂无分享,去创建一个
[1] Cornelis W. Oosterlee,et al. On the Heston Model with Stochastic Interest Rates , 2010, SIAM J. Financial Math..
[2] R. Poulsen,et al. Empirical performance of models for barrier option valuation , 2013 .
[3] Alan G. White,et al. The Pricing of Options on Assets with Stochastic Volatilities , 1987 .
[4] Curt Randall,et al. Pricing Financial Instruments: The Finite Difference Method , 2000 .
[5] D. Owen. A table of normal integrals , 1980 .
[6] Applying hedging strategies to estimate model risk and provision calculation , 2011, 1102.3534.
[7] C. Reisinger,et al. Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates , 2015 .
[8] Andreas Neuenkirch,et al. CONVERGENCE OF NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN MATHEMATICAL FINANCE , 2012, 1204.6620.
[9] Tübinger Diskussionsbeiträge. Stochastic volatility with an Ornstein-Uhlenbeck process: An extension , 2014 .
[10] Christoph Reisinger,et al. Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process , 2015, 1601.00919.
[11] Michael B. Giles,et al. Multilevel Monte Carlo Path Simulation , 2008, Oper. Res..
[12] K. A. Lindsay,et al. Estimating the Parameters of Stochastic Volatility Models Using Option Price Data , 2015 .
[13] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[15] S. Shreve. Stochastic Calculus for Finance II: Continuous-Time Models , 2010 .
[16] T. Alderweireld,et al. A Theory for the Term Structure of Interest Rates , 2004, cond-mat/0405293.
[17] Olivier Pironneau,et al. A mixed PDE/Monte-Carlo method for stochastic volatility models , 2009 .
[18] Giovanna Nappo,et al. On the Moments of the Modulus of Continuity of Itô Processes , 2009 .
[19] C. Reisinger,et al. Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance , 2012, SIAM J. Financial Math..
[20] Rehez Ahlip,et al. Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates , 2013 .
[21] Lukáš Lafférs. Empirical likelihood estimation of interest rate diffusion model , 2009 .
[22] Paul Glasserman,et al. Monte Carlo Methods in Financial Engineering , 2003 .
[23] Iain J. Clark. Foreign Exchange Option Pricing: A Practitioner's Guide , 2011 .
[24] D. Dufresne. The integrated square-root process , 2001 .
[25] D. Hunter. Convergence of Monte Carlo simulations involving the mean-reverting square root process , 2005 .
[26] Antoon Pelsser,et al. Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility , 2008 .
[27] D. Higham,et al. Convergence of Monte Carlo Simulations involving the Mean-Reverting Square Root Process , 2005 .
[28] K. Jackson,et al. Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance , 2015 .
[29] D. Dijk,et al. A comparison of biased simulation schemes for stochastic volatility models , 2008 .
[30] Mixing monte-carlo and partial differential equations for pricing options , 2013 .
[31] G. Willard. Calculating Prices and Sensitivities for Path-Independent Derivatives Securities in Multifactor Models , 1996 .
[32] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .
[33] Andreas Neuenkirch,et al. First order strong approximations of scalar SDEs defined in a domain , 2014, Numerische Mathematik.
[34] Martin Sola,et al. On Model Selection and Markov Switching: An Empirical Examination of Term Structure Models with Regime Shifts , 2003 .
[35] Leif Andersen,et al. Moment Explosions in Stochastic Volatility Models Moment Explosions in the Black–scholes and Exponential Lévy Model Moment Explosions in the Heston Model , 2022 .
[36] Antoon Pelsser,et al. Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility , 2005 .
[37] D. Brigo,et al. Interest Rate Models , 2001 .
[38] L. Szpruch,et al. An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process , 2012, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences.
[39] X. Ang. A Mixed PDE/Monte Carlo approach as an efficient way to price under high-dimensional systems , 2013 .
[40] Steven Kou,et al. A Jump Diffusion Model for Option Pricing , 2001, Manag. Sci..