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Advanced Monte Carlo Pricing of European Options in a Market Model with Two Stochastic Volatilities

  • Betuel Canhanga
  • Anatoliy Malyarenko
  • Jean-Paul MuraraEmail author
  • Ying Ni
  • Sergei Silvestrov
Conference paper
  • 36 Downloads
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 317)

Abstract

We consider a market model with four correlated factors and two stochastic volatilities, one of which is rapid-changing, while another one is slow-changing in time. An advanced Monte Carlo method based on the theory of cubature in Wiener space is used to find the no-arbitrage price of the European call option in the above model.

Keywords

Stochastic volatility Market model Monte Carlo method 

MSC 2010 Classification

91B25 91B70 91G20 91G60 65D32 

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Betuel Canhanga
    • 1
  • Anatoliy Malyarenko
    • 2
  • Jean-Paul Murara
    • 2
    Email author
  • Ying Ni
    • 2
  • Sergei Silvestrov
    • 2
  1. 1.Faculty of Sciences, Department of Mathematics and Computer SciencesEduardo Mondlane UniversityMaputoMozambique
  2. 2.Division of Applied MathematicsMälardalen UniversityVästeråsSweden

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