Related papers: Exact Simulation of the 3/2 Model
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This study presents a comparative analysis of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods in the context of derivative pricing, emphasizing convergence rates and the curse of dimensionality. After a concise overview of traditional…
Nonparametric regression models with locally stationary covariates have received increasing interest in recent years. As a nice relief of "curse of dimensionality" induced by large dimension of covariates, additive regression model is…
Approximate Bayesian computation (ABC) or likelihood-free inference algorithms are used to find approximations to posterior distributions without making explicit use of the likelihood function, depending instead on simulation of sample data…
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Model comparison for the purposes of selection, averaging and validation is a problem found throughout statistics. Within the Bayesian paradigm, these problems all require the calculation of the posterior probabilities of models within a…
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The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
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In this research, we proposed a Mean Convection Finite Difference Method (MCFDM) for European options pricing. The Black-Scholes model, which describes the dynamics of a financial asset, was first transformed into a convection-diffusion…
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An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…