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On an efficient multiple time step Monte Carlo simulation of the SABR model

Journal article (2017) - A. Leitao Rodriguez, A. Leitao Rodriguez, L.A. Grzelak, L.A. Grzelak, C.W. Oosterlee, C.W. Oosterlee

In this paper, we will present a multiple time step Monte Carlo simulation technique for pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an extension of the one time step Monte Carlo method that we proposed in an accompanying paper Leitao et a ...

On a one time-step Monte Carlo simulation approach of the SABR model

Application to European options

Journal article (2017) - A. Leitao Rodriguez, A. Leitao Rodriguez, L.A. Grzelak, L.A. Grzelak, C.W. Oosterlee, C.W. Oosterlee

In this work, we propose a one time-step Monte Carlo method for the SABR model. We base our approach on an accurate approximation of the cumulative distribution function of the time-integrated variance (conditional on the SABR volatility), using Fourier techniques and a copula ...

L.A. Grzelak

Authored

On an efficient multiple time step Monte Carlo simulation of the SABR model

On a one time-step Monte Carlo simulation approach of the SABR model

Application to European options

Pricing inflation products with stochastic volatility and stochastic interest rates

Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation

Extension of stochastic volatility equity models with the Hull¿White interest rate process

Efficient pricing of commodity options with early-exercise under the Ornstein¿Uhlenbeck process

Calibration and Monte Carlo pricing of the SABR¿Hull¿White model for long-maturity equity derivatives

An equity¿interest rate hybrid model with stochastic volatility and the interest rate smile

On the Heston model with stochastic interest rates

On cross-currency models with stochastic volatility and correlated interest rates

Efficient pricing of commodity options with early-exercise under the ornstein¿uhlenbeck process

Equity and foreign exchange hybrid models for pricing long-maturity financial derivatives

The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

An equity-interest rate hybrid model with stochhastic volatility and the interest rate smile

On cross-currency models with stochastic volatility and correlated interest rates

Efficient option pricing with multi-factor equity-interest rate hybrid models

On the Heston model with stochastic interest rates

Fast pricing of hybrid derivative products

Extension of stochastic volatility models with hull-white interest rate process

Incorporating an interest rate smile in a equity local volatility model