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q-fin.MF2024
Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
Jinniao Qiu, Antony Ware, Yang Yang
This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price vola…
q-fin.CP2024
A weighted multilevel Monte Carlo method
Yu Li, Antony Ware
The Multilevel Monte Carlo (MLMC) method has been applied successfully in a wide range of settings since its first introduction by Giles (2008). When using only two levels, the met…