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A comparison of biased simulation schemes for stochastic volatility models

✍ Scribed by Lord, Roger; Koekkoek, Remmert; Dijk, Dick Van

Book ID
120545086
Publisher
Taylor and Francis Group
Year
2009
Tongue
English
Weight
372 KB
Volume
10
Category
Article
ISSN
1469-7688

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πŸ“œ SIMILAR VOLUMES

A new scheme for static hedging of Europ
A new scheme for static hedging of European derivatives under stochastic volatility models
✍ Akihiko Takahashi; Akira Yamazaki πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 138 KB πŸ‘ 1 views

## Abstract This study proposes a new scheme for static hedging of European path‐independent derivatives under stochastic volatility models. First, we show that pricing European path‐independent derivatives under stochastic volatility models is transformed to pricing those under one‐factor local vo