A mixed PDE/Monte-Carlo method for stochastic volatility models

被引：9
|
作者：
Loeper, Gregoire [1 ,2 ]
Pironneau, Olivier [2 ]
机构：
[1] BNP ParisBas, Paris, France
[2] Univ Paris 06, LJLL, F-75013 Paris, France
来源：
COMPTES RENDUS MATHEMATIQUE | 2009年 / 347卷 / 9-10期
关键词：
OPTIONS;
D O I：
10.1016/j.crma.2009.02.021
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We propose a pricing method for derivatives modeled by a set of stochastic differential equations with the objective of reducing the computing time. The speed up observed in our numerical implementation can be as large as 50. The method is based on a joint use of Monte-Carlo simulations and PDE or analytical formulas. The method is tested in the framework of the Heston stochastic volatility model with and without barriers. To cite this article: G. Loeper, O. Pirouneau, C R. Acad. Sci. Paris, Ser. 1347 (2009). (C) 2009 Published by Elsevier Masson SAS on behalf of Academie des sciences.
引用
收藏
页码：559 / 563
页数：5
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