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math.NA2026
Monte Carlo pricing under fast mean-reverting stochastic volatility: the multi-scale limit
Laurent Mertz, Olivier Pironneau
We compute $\E[(S_T-K)^+]$ by Monte Carlo for a scalar stochastic-volatility model with a fast mean-reverting factor of time scale $\eps$, for $\eps$ ranging from down to $10^{…
math.NA2011
Asymptotic Analysis of Stochastic Variational Inequalities Modeling an Elasto-Plastic Problem with Vanishing Jumps
Alain Bensoussan, Hector Jasso Fuentes, Laurent Mertz
In a previous work by the first author with J. Turi (AMO, 08), a stochastic variational inequality has been introduced to model an elasto-plastic oscillator with noise. A major adv…