| | |
| | |
Stat |
Members: 3667 Articles: 2'599'751 Articles rated: 2609
08 February 2025 |
|
| | | |
|
Article overview
| |
|
Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options | Jan Kuklinski
; Kevin Tyloo
; | Date: |
1 May 2016 | Abstract: | We discuss a semi-analytical method for solving SABR-type equations based on
path integrals. In this approach, one set of variables is integrated
analytically while the second set is integrated numerically via Monte-Carlo.
This method, known in the literature as Conditional Monte-Carlo, leads to
compact expressions functional on three correlated stochastic variables. The
methodology is practical and efficient when solving Vanilla pricing in the
SABR, Heston and Bates models with time depending parameters. Further, it can
also be practically applied to pricing Asian options in the $eta=0$ SABR
model and to other $eta=0$ type models. | Source: | arXiv, 1605.0307 | Services: | Forum | Review | PDF | Favorites |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
|
| |
|
|
|