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- W2410709808 abstract "We develop an efficient Monte Carlo method for the valuation of financial contracts on discretely realized variance. We work with a general stochastic volatility model that makes realized variance dependent on the full path of the asset price. The variance contract price is a high-dimensional integral over the fundamental sources of randomness. We identify a two-dimensional manifold that drives most of the uncertainty in realized variance, and we compute the contract price by combining precise integration over this manifold, implemented as fine stratification or deterministic sampling with quasirandom numbers, with conditional Monte Carlo on the remaining dimensions. For a subclass of models and a class of nonlinear payoffs, we derive approximate theoretical results that quantify the variance reduction achieved by our method. Numerical tests for the discretized versions of the widely used Hull–White and Heston models show that the algorithm performs significantly better than a standard Monte Carlo, even for fixed computational budgets." @default.
- W2410709808 created "2016-06-24" @default.
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- W2410709808 date "2015-03-26" @default.
- W2410709808 modified "2023-10-01" @default.
- W2410709808 title "An Efficient Monte Carlo Method for Discrete Variance Contracts" @default.
- W2410709808 hasPublicationYear "2015" @default.
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