TY - CHAP

T1 - The weighted variance minimization in jump-diffusion stochastic volatility models

AU - Gormin, Anatoly

AU - Kashtanov, Yuri

N1 - Gormin, A., Kashtanov, Y. (2009). The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models. In: L' Ecuyer, P., Owen, A. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2008. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04107-5_24

PY - 2009

Y1 - 2009

N2 - The Monte Carlo method is applied to estimation of options in the case of a stochastic volatility model with jumps. An option contract has a number of parameters like a strike, an exercise date, etc. Estimators of option prices with different values of its parameters are constructed on the same trajectories of the underlying asset price process. The problem of minimization of the weighted sum of their variances is considered. Optimal estimators with minimal weighted variance are pointed out. Their approximations are applied to variance reduction.

AB - The Monte Carlo method is applied to estimation of options in the case of a stochastic volatility model with jumps. An option contract has a number of parameters like a strike, an exercise date, etc. Estimators of option prices with different values of its parameters are constructed on the same trajectories of the underlying asset price process. The problem of minimization of the weighted sum of their variances is considered. Optimal estimators with minimal weighted variance are pointed out. Their approximations are applied to variance reduction.

UR - https://link.springer.com/book/10.1007/978-3-642-04107-5

M3 - Article in an anthology

SN - 978-3-642-04106-8

SP - 383

EP - 394

BT - Monte Carlo and Quasi-Monte Carlo Methods 2008

PB - Springer Nature

ER -