Search for tag: "euler scheme"

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 +6 More From Tiziano Vargiolu 16 plays 0
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 +6 More From Tiziano Vargiolu 10 plays 0

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