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International Journal of Computer Mathematics Volume 97, 2020 - Issue 3
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Original Articles

An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate

Yijuan LiangSchool of Economics and Management, Southwest University, Chongqing, People's Republic of ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-4011-6601View further author information
ORCID Icon &
Chenglong XuSchool of Mathematics, Shanghai University of Finance and Economics, Shanghai, People's Republic of ChinaView further author information
Pages 638-655 | Received 03 Sep 2018, Accepted 13 Feb 2019, Published online: 20 Mar 2019

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Eunchae Park, Jisang Lyu, Sangkwon Kim, Chaeyoung Lee, Wonjin Lee, Yongho Choi, Soobin Kwak, Changwoo Yoo, Hyeongseok Hwang & Junseok Kim. (2022) Calibration of the temporally varying volatility and interest rate functions. International Journal of Computer Mathematics 99:5, pages 1066-1079.
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Articles from other publishers (6)

Wael Dammak, Salah Ben Hamad, Christian de Peretti & Hichem Eleuch. (2023) Pricing of European currency options considering the dynamic information costs. Global Finance Journal 58, pages 100897.
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Haoxing Wu, Haochen Hua, Xingying Chen & Yu Jiang. 2023. The proceedings of the 10th Frontier Academic Forum of Electrical Engineering (FAFEE2022). The proceedings of the 10th Frontier Academic Forum of Electrical Engineering (FAFEE2022) 1015 1025 .
Sumei Zhang, Panni Liu & Zihao Liao. 2023. Advances in Natural Computation, Fuzzy Systems and Knowledge Discovery. Advances in Natural Computation, Fuzzy Systems and Knowledge Discovery 1433 1440 .
S. Yazdani, M. Hadizadeh & V. Fakoor. (2022) Computational analysis of the behavior of stochastic volatility models with financial applications. Journal of Computational and Applied Mathematics 411, pages 114258.
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Zhehao Huang, Zhenghui Li & Zhenzhen Wang. (2020) Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration. Mathematics 8:11, pages 2033.
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Zhehao Huang, Tianpei Jiang & Zhenzhen Wang. (2020) On a multiple credit rating migration model with stochastic interest rate. Mathematical Methods in the Applied Sciences 43:12, pages 7106-7134.
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