Option pricing under stochastic volatility models with latent volatility. (English) Zbl 1522.91262
MSC:
91G20
Found 17 Documents (Results 1–17)
Parameter identification for portfolio optimization with a slow stochastic factor. (English) Zbl 1502.35175
Pricing of the geometric Asian options under a multifactor stochastic volatility model. (English) Zbl 1490.91219
Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model. (English) Zbl 1496.91082
Least-square-based control variate method for pricing options under general factor models. (English) Zbl 1481.91222
An asymptotic expansion method for geometric Asian options pricing under the double Heston model. (English) Zbl 1448.91305
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility. (English) Zbl 1407.91250
Pricing barrier options in the Heston model using the Heath-Platen estimator. (English) Zbl 1408.91232
On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis. (English) Zbl 1400.91668
Jumps and stochastic volatility in crude oil prices and advances in average option pricing. (English) Zbl 1400.91598
MSC:
91G20
60J75
Options pricing for several maturities in a jump-diffusion model. (English) Zbl 1270.91094
Plaskota, Leszek (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2010. Selected papers based on the presentations at the 9th international conference on Monte Carlo and quasi Monte Carlo in scientific computing (MCQMC 2010), Warsaw, Poland, August 15–20, 2010. Berlin: Springer (ISBN 978-3-642-27439-8/hbk; 978-3-642-27440-4/ebook). Springer Proceedings in Mathematics & Statistics 23, 385-398 (2012).
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility. (English) Zbl 1242.91185
MSC:
91G20
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