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Multi-level Monte Carlo simulations with importance sampling

Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013

We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte Carlo significantly improves its effective...

Persistent link: https://www.econbiz.de/10010206934

VaR/CVaR estimation under stochastic volatility models

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

Finite Gaussian mixture approximations to analytically intractable density Kernels

Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017

Persistent link: https://www.econbiz.de/10012135106

Implied volatility of leveraged ETF options

Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188

Persistent link: https://www.econbiz.de/10010505139

Capital structure effects on the prices of equity call options

Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253

Persistent link: https://www.econbiz.de/10011590712

Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study

Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012666125

A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets

Benth, Fred Espen; Sgarra, Carlo - In: Finance and stochastics 28 (2024) 4, pp. 1035-1076

Persistent link: https://www.econbiz.de/10015130552

A hybrid stochastic volatility model in a Lévy market

El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: International review of economics & finance : IREF 85 (2023), pp. 220-235

Persistent link: https://www.econbiz.de/10014424191

Variance reduction techniques of importance sampling Monte Carlo methods for pricing options

Zhao, Qiang; Liu, Guo; Gu, Guiding - In: Journal of mathematical finance 3 (2013) 4, pp. 431-436

Persistent link: https://www.econbiz.de/10010239518

Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method

Jonen, Christian - 2011

Persistent link: https://www.econbiz.de/10010204985