Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model-Reference-Cited by-同舟云学术

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

Published:2020-04-20 Issue:9 Volume:20 Page:1457-1473
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bayer Christian¹,Ben Hammouda Chiheb²^ORCID,Tempone Raúl²³

Affiliation:

1. Weierstrass Institute for Applied Analysis and Stochastics (WIAS), Berlin, Germany

2. Computer, Electrical and Mathematical Sciences & Engineering Division (CEMSE), King Abdullah University of Science and Technology (KAUST), Thuwal 23955-6900, Saudi Arabia

3. Alexander von Humboldt Professor in Mathematics for Uncertainty Quantification, RWTH Aachen University, Aachen, Germany

Funder

German Research Foundation – Deutsche Forschungsgemeinschaft

KAUST Office of Sponsored Research

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1744700

Reference43 articles.

1. Lifting the Heston model

2. A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing

3. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

4. Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

5. Pricing under rough volatility

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