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Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
9 references·0 citing·35 second hop
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models (2005)Exact Simulation of Option Greeks under S…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Computing Option Price Sensitivities Using Homogeneity and Other Tricks (2001)Computing Option Price Sensit…Applications of Malliavin calculus to Monte-Carlo methods in finance. II (2001)Applications of Malliavin cal…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Calculating Prices and Sensitivities for Path-Independent Derivatives Securities in Multifactor Models (1997)Calculating Prices and Sensit…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Options on the minimum or the maximum of two risky assets (1982)Fast greeks by simulation in forward LIBOR models (1999)Exact simulation of option greeks under stochastic volatility and jump diffusion models (2004)FX Options and Smile Risk (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)Options: A Monte Carlo approach (1977)Quasi-Monte Carlo Methods in Numerical Finance (1996)A new PDE approach for pricing arithmetic average Asian options (2001)A stochastic mesh method for pricing high-dimensional American options (2004)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (2001)A generalization of the Hull and White formula with applications to option pricing approximation (2006)Efficient, almost exact simulation of the Heston stochastic volatility model (2010)A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations (2006)A mean-field stochastic maximum principle via Malliavin calculus (2012)Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (2012)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
  • 1997Calculating Prices and Sensitivities for Path-Independent Derivatives Securities in Multifactor Models82 cited
  • 2001Computing Option Price Sensitivities Using Homogeneity and Other Tricks32 cited

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