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

Gregoire Loeper, Olivier Pironneau

Research output: Contribution to journalArticleResearchpeer-review

7 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 languageEnglish
Pages (from-to)559-563
Number of pages5
JournalComptes Rendus Mathematique
Volume347
Issue number9-10
DOIs
Publication statusPublished - 2009
Externally publishedYes

Cite this

Loeper, Gregoire ; Pironneau, Olivier. / A mixed PDE/Monte-Carlo method for stochastic volatility models. In: Comptes Rendus Mathematique. 2009 ; Vol. 347, No. 9-10. pp. 559-563.
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A mixed PDE/Monte-Carlo method for stochastic volatility models. / Loeper, Gregoire; Pironneau, Olivier.

In: Comptes Rendus Mathematique, Vol. 347, No. 9-10, 2009, p. 559-563.

Research output: Contribution to journalArticleResearchpeer-review

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