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Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model

• Authors : Ben Hammouda, Chiheb; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division Applied Mathematics and Computational Science Program

Subjects: Rough volatility; Monte Carlo; Adaptive sparse grids

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Options pricing with realized volatility

• Authors : La Vecchia, Davide; Corsi, Fulvio; Fusari, Nicola

Subjects: info:eu-repo/classification/ddc/310; High frequency; Realized volatility

• Source: 2nd International Workshop of the ERCIM Working Group on Computing & Statistics, (2009) p. 49

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