7 citations · 7 across the 4 of their papers we have counts for
5 papers
Simulation of stochastic volatility models via operator splitting schemes
Lilian Hu, Congxin He, Yue Kuen Kwok +1
The standard Euler discretization schemes for numerical option pricing under stochastic volatility models are known to exhibit high biases and potential unreliability. The alternat…
Efficient simulation schemes for pricing options under the Ornstein--Uhlenbeck driven stochastic volatility model
Congxin He, Yue Kuen Kwok
We develop an efficient Monte Carlo simulation scheme for pricing options under the Ornstein-Uhlenbeck driven stochastic volatility model via the operator splitting approach. With…
Stochastic Mortality Model with Fractional Lévy Dynamics
Congxin He, Lilian Hu, Yue Kuen Kwok +1
A substantial body of empirical evidence suggests that stochastic mortality models ignoring long range dependence tend to underestimate life expectancy, which may lead to profound…
Efficient and accurate simulation of the stochastic-alpha-beta-rho model
Jaehyuk Choi, Lilian Hu, Yue Kuen Kwok
We propose an efficient, accurate and reliable simulation scheme for the stochastic-alpha-beta-rho (SABR) model. The two challenges of the SABR simulation lie in sampling (i) integ…
Simulation schemes for the Heston model with Poisson conditioning
Jaehyuk Choi, Yue Kuen Kwok
Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer from computationally expensive modified Bessel function evaluat…