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

Gregoire Loeper; Olivier Pironneau

doi:10.1016/j.crma.2009.02.021

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

Gregoire Loeper, Olivier Pironneau

Research output: Contribution to journal › Article › Research › peer-review

9 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	559-563
Number of pages	5
Journal	Comptes Rendus Mathematique
Volume	347
Issue number	9-10
DOIs	https://doi.org/10.1016/j.crma.2009.02.021
Publication status	Published - 2009
Externally published	Yes

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10.1016/j.crma.2009.02.021

Cite this

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