Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
Christian Bayer, Chiheb Ben Hammouda and Raúl Tempone
| Year of publication: |
2020
|
|---|---|
| Authors: | Bayer, Christian ; Ben Hammouda, Chiheb ; Tempone, Raúl |
| Subject: | Adaptive sparse grids | Brownian bridge construction | Monte Carlo | Quasi-Monte Carlo | Richardson extrapolation | Rough volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1744700 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012295614