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Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models

https://doi.org/10.1109/wsc.2004.1371506
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-0-387-21617-1openalex-snapshot
Monte Carlo Methods in Financial Engineering
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Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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Applications of Malliavin calculus to Monte Carlo methods in finance
inferredcites →https://doi.org/10.1088/1469-7688/2/5/301openalex-snapshot
Smart Monte Carlo: various tricks using Malliavin calculus
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-snapshot
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02749.xopenalex-snapshot
Empirical Performance of Alternative Option Pricing Models
inferredcites →https://doi.org/10.1287/mnsc.42.2.269openalex-snapshot
Estimating Security Price Derivatives Using Simulation
inferredcites →https://doi.org/10.3905/jod.1997.407982openalex-snapshot
Calculating Prices and Sensitivities for Path-Independent Derivatives Securities in Multifactor Models
inferredcites →https://doi.org/10.3905/jod.2001.319174openalex-snapshot
Computing Option Price Sensitivities Using Homogeneity and Other Tricks

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Empirical Performance of Option Pricing Models Based on Time-Changed Lévy Processes
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Pricing and Risk Management with Stochastic Volatility Using Importance Sampling
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An Empirical Stochastic Volatility Model for Bitcoin Price Range Forecasting
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Unified Moment-Based Modelling of Integrated Stochastic Processes
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An Efficient Rare Event Simulation-Based Methodology for Pricing and Risk Management of Financial Derivatives
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Derivatives Sensitivities Computation under Heston Model on GPU
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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
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Efficient Simulation of the Heston Stochastic Volatility Model
inferred← citeshttps://doi.org/10.1007/s10287-018-0316-yopenalex-snapshot
Computation of the Delta of European options under stochastic volatility models
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A Generative Neural Network-Based Approach for Efficient Estimation of Option Prices and Greeks
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Hedging cryptocurrency options
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A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
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CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION
inferred← citeshttps://doi.org/10.1080/00207160.2013.866654openalex-snapshot
Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
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A comparison of biased simulation schemes for stochastic volatility models
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Sensitivity estimation of SABR model via derivative of random variables
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Option Pricing with Orthogonal Polynomial Expansions
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Uma aproximação do tipo Euller - Maruyama para o processo de Cox-Ingersoll-Ross
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Métodos de simulação Monte Carlo para aproximação de estratégias de hedging ideais
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General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
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Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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Exact Simulation of the SABR Model
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First- and second-order Greeks in the Heston model
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Non-Negativity Preserving Numerical Algorithms for Problems in Mathematical Finance
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