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Thumbnail for entry Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility

Lecture 4: Application of Malliavin calculus to…

duration 1 hour 53 minutes

Lecture 4: Application of Malliavin calculus to…

Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility

Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility

Introduction Model of asset price and payoff function: additional assumptions, auxiliary properties Elements of Malliavin calculus and application to option pricing The rate of convergence of…

euler scheme
monte carlo method
density
malliavin calculus
stochastic volatility
rough volatility
convergence
From  Tiziano Vargiolu 13 plays 0  
Thumbnail for entry Lectures 65-66: discretization and Monte Carlo errors

Lectures 65-66: discretization and Monte Carlo…

duration 1 hour 33 minutes

Lectures 65-66: discretization and Monte Carlo…

Lectures 65-66: discretization and Monte Carlo errors

Lectures 65-66: discretization and Monte Carlo errors

Discretization error and Monte Carlo error. Acceleration techniques. Introduction to MATLAB. Pricing of an Asian option: a horse-race among VBA, MATLAB and parallelized MATLAB codes.

monte carlo method
monte carlo error
discretization error
euler scheme
matlab
vba
parallel computing
From  Tiziano Vargiolu 7 plays 0