Variance reduction for Monte Carlo simulation in a stochastic volatility environment

Author： Fouque Jean-Pierre   Andrew Tullie Tracey  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.2, Iss.1, 2002-02, pp. : 24-30

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

By Fouque Jean-Pierre   Han Chuan-Hsiang  

Quantitative Finance, Vol. 4, Iss. 5, 2004-10 ,pp. : 597-606

Routledge Ltd

Access to resources Recommend Favorite

Stochastic Volatility of Volatility and Variance Risk Premia

By Barndorff-Nielsen Ole E.   Veraart Almut E. D.  

Journal of Financial Econometrics, Vol. 11, Iss. 1, 2012-12 ,pp. : 1-46

Oxford University Press

Access to resources Recommend Favorite

Forecasting variance using stochastic volatility and GARCH

By Hansson Björn   Hördahl Peter  

The European Journal of Finance, Vol. 11, Iss. 1, 2005-02 ,pp. : 33-57

Routledge Ltd

Access to resources Recommend Favorite

Options on realized variance by transform methods: a non-affine stochastic volatility model

By Drimus Gabriel G.  

Quantitative Finance, Vol. 12, Iss. 11, 2012-11 ,pp. : 1679-1694

Routledge Ltd

Access to resources Recommend Favorite

A comparison of biased simulation schemes for stochastic volatility models

By Lord Roger   Koekkoek Remmert   Dijk Dick Van  

Quantitative Finance, Vol. 10, Iss. 2, 2010-02 ,pp. : 177-194

Routledge Ltd

Access to resources Recommend Favorite