An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate

doi:10.1080/00207160.2019.1584671

CORC > 上海财经大学 > 上海财经大学

	An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
	Liang, Yijuan 1; Xu, Chenglong 2
刊名	INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS
	2019-03-12
关键词	Conditional Monte Carlo martingale control variate option pricing stochastic volatility stochastic interest rate
ISSN号	0020-7160
DOI	10.1080/00207160.2019.1584671
英文摘要	This paper studies the variance reduction methods for pricing European options under stochastic volatility and stochastic interest rate model. A general conditional Monte Carlo pricing framework is constructed to reduce the variance and save the time cost of Monte Carlo simulation. Based on Martingale Representation Theorem, two efficient martingale control variates are designed to combine with the conditional Monte Carlo simulation. Numerical results show that this hybrid method has great variance reduction effect and robust performance. The idea is also applicable for pricing other financial derivatives with stochastic volatility and/or stochastic interest rate.
WOS研究方向	Mathematics
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000463358600001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/312]
专题	上海财经大学
通讯作者	Liang, Yijuan
作者单位	1.Southwest Univ, Sch Econ & Management, Chongqing 400715, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Math, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Liang, Yijuan,Xu, Chenglong. An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate[J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS,2019.
APA	Liang, Yijuan,&Xu, Chenglong.(2019).An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate.INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS.
MLA	Liang, Yijuan,et al."An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate".INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS (2019).