Variance reduction for monte carlo simulation in a stochastic volatility environment

Quantitative Finance

Volumn 2, Issue 1, 2002, Pages 24-30

  Fouque, Jean Pierre ^a   Andrew, Tracey ^a  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85008758928     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/2/1/302     Document Type: Article

References (8)

1. Fouque J P, Papanicolaou G and Sircar K R 2000 Derivatives in Financial Markets with Stochastic Volatility (Cambridge: Cambridge University Press)
2. Fouque J P, Papanicolaou G, Sircar K R and Solna K 2001 Singular perturbations in option pricing Preprint
3. Fournie E, Lebuchoux J and Touzi N 1997 Small noise expansion and importance sampling Asymptotic Anal. 14 361–76
4. Frey R 1996 Derivative asset analysis in models with level-dependent and stochastic volatility CWI Quarterly 10 1–34
5. Ghysels E, Harvey A and Renault E 1996 Stochastic volatility Statistical Methods in Finance (Handbook of Statistics vol 14) ed G Maddala and C Rao (Amsterdam: North-Holland) ch 5 pp 119–91
6. Heston S 1993 A closed-form solution for options with stochastic volatility with applications to bond and currency options Rev. Financial Studies 6 327–43
7. Hull J and White A 1987 The pricing of options on assets with stochastic volatilities J. Finance XLII 281–300
8. Newton N 1994 Variance reduction for simulated diffusions SIAM J. Appl. Math. 54 1780–805