A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Andrei Cozma and Christoph Reisinger
| Year of publication: |
February 2017
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|---|---|
| Authors: | Cozma, Andrei ; Reisinger, Christoph |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 3, p. 109-149
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| Subject: | conditional Monte Carlo | mixed Monte Carlo/PDE | stochastic volatility | stochastic interest rates | variance reduction | strong convergence | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Analysis | Mathematical analysis |