Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility

We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on assets with correlated stochastic volatility. Our approach to barrier options valuation utilizes two loops. First we run...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	arXiv.org 2022-02
Hauptverfasser:	Lipton, Alexander, Sepp, Artur
Format:	Artikel
Sprache:	eng
Schlagworte:	Accuracy Brownian motion Dimensional analysis Finite difference method Green's functions Monte Carlo simulation Pricing Put & call options Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!