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Mixing Monte-Carlo and Partial Differential Equations for Pricing Options
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作者 Tobias LIPP Grgoire LOEPER Olivier PIRONNEAU 《Chinese Annals of Mathematics,Series B》 SCIE CSCD 2013年第2期255-276,共22页
There is a need for very fast option pricers when the financial objects are modeled by complex systems of stochastic differential equations.Here the authors investigate option pricers based on mixed Monte-Carlo partia... There is a need for very fast option pricers when the financial objects are modeled by complex systems of stochastic differential equations.Here the authors investigate option pricers based on mixed Monte-Carlo partial differential solvers for stochastic volatility models such as Heston's.It is found that orders of magnitude in speed are gained on full Monte-Carlo algorithms by solving all equations but one by a Monte-Carlo method,and pricing the underlying asset by a partial differential equation with random coefficients,derived by Ito calculus.This strategy is investigated for vanilla options,barrier options and American options with stochastic volatilities and jumps optionally. 展开更多
关键词 Monte-Carlo Partial differential equations Heston model financial mathematics. Option pricing
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