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Communications in Statistics - Simulation and Computation Volume 46, 2017 - Issue 3
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Original Articles

Efficient Monte Carlo option pricing under CEV model

F. MehrdoustDepartment of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, IranCorrespondence[email protected]
,
S. BabaeiDepartment of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, Iran
&
S. FallahDepartment of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, Iran
Pages 2254-2266 | Received 12 Dec 2013, Accepted 09 Apr 2015, Published online: 24 Nov 2016

Citations (7)

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Read on this site (2)

Farshid Mehrdoust, Somayeh Fallah & Oldouz Samimi. (2021) Pricing multi-asset American option under Heston-CIR diffusion model with jumps. Communications in Statistics - Simulation and Computation 50:11, pages 3182-3193.
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Julien Baptiste, Julien Grepat & Emmanuel Lepinette. (2018) Approximation of Non-Lipschitz SDEs by Picard Iterations. Applied Mathematical Finance 25:2, pages 148-179.
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Articles from other publishers (5)

Taoer Guo. 2023. Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022). Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022) 733 741 .
Miloš Ilić & Panagiota Digkoglou. (2022) The volatility of stock market returns: Application of Monte Carlo simulation. Economics of Sustainable Development 6:2, pages 17-30.
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Somayeh Fallah & Farshid Mehrdoust. (2021) CEV model equipped with the long-memory. Journal of Computational and Applied Mathematics 389, pages 113359.
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Hanbyeol Jang, Jian Wang & Junseok Kim. (2019) Equity-linked security pricing and Greeks at arbitrary intermediate times using Brownian bridge. Monte Carlo Methods and Applications 25:4, pages 291-305.
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Julien Baptiste, Julien Grrpat & Emmanuel Lepinette. (2016) Approximation of Non-Lipschitz SDEs by Picard Iterations. SSRN Electronic Journal.
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