@inproceedings{2009ef4a3f0143439253e9de37794058,

title = "Monte Carlo simulation of a two-factor stochastic volatility model",

abstract = "Empirical phenomenon in financial markets such as volatility smiles and term structure of implied volatilities made stochastic volatility models more attractive. In this paper we consider a multi- factor stochastic volatility model with two mean reverting factors and the analytical approximation formula given by Fouque et al. [5] for a vanilla European call. Using the European call option pricng problem as our test problem we compared crude MC estimator with the randomized quasi-Monte Carlo method. Our findings show that using the randomized low- discrepancy sequences such as Faure sequence, one can reduce the variance of the estimator and achieve faster convergence compared to crude Monte Carlo simulation.",

keywords = "Monte Carlo simulation, Randomized Quasi-Monte Carlo, Scrambled Faure sequence, Two-factor stochastic volatility model",

author = "Ahmet G{\"o}nc{\"u}",

year = "2012",

language = "English",

isbn = "9789881925190",

series = "Lecture Notes in Engineering and Computer Science",

publisher = "Newswood Limited",

pages = "1495--1500",

booktitle = "International MultiConference of Engineers and Computer Scientists, IMECS 2012",

note = "2012 International MultiConference of Engineers and Computer Scientists, IMECS 2012 ; Conference date: 14-03-2012 Through 16-03-2012",

}