A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Author:
Affiliation:
1. School of Mathematics and Physics, University of Queensland, St Lucia, Brisbane, Australia
2. Department of Computer Science, University of Toronto, Toronto, Canada
3. Suncorp Bank, Brisbane, Australia
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2017.1358646
Reference48 articles.
1. Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
2. Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model
3. Range-Based Estimation of Stochastic Volatility Models
4. Moment explosions in stochastic volatility models
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