Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 559-563 |
| Number of pages | 5 |
| Journal | Comptes Rendus Mathematique |
| Volume | 347 |
| Issue number | 9-10 |
| DOIs | |
| Publication status | Published - 2009 |
| Externally published | Yes |
Cite this
}
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 journal › Article › Research › peer-review
TY - JOUR
T1 - A mixed PDE/Monte-Carlo method for stochastic volatility models
AU - Loeper, Gregoire
AU - Pironneau, Olivier
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
U2 - 10.1016/j.crma.2009.02.021
DO - 10.1016/j.crma.2009.02.021
M3 - Article
VL - 347
SP - 559
EP - 563
JO - Comptes Rendus Mathematique
JF - Comptes Rendus Mathematique
SN - 1631-073X
IS - 9-10
ER -