Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4959975 | European Journal of Operational Research | 2017 | 14 Pages |
Abstract
In numerical experiments, we apply the new control variate method to pricing basket, spread, and average options and Delta of basket options under a ZABR-type local stochastic volatility model with jumps, and confirm that our method works very well.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Kenichiro Shiraya, Akihiko Takahashi,