Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759): Difference between revisions

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scientific article; zbMATH DE number 7474782

Language	Label	Description	Also known as
English	Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions	scientific article; zbMATH DE number 7474782

Statements

instance of

scholarly article

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title

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (English)

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author

Kemal Dinçer Dingeç

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published in

International Journal of Computer Mathematics

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publication date

16 February 2022

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zbMATH Keywords

basket options

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Greeks

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time-changed Brownian motion

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Monte Carlo

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variance reduction

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randomized quasi-Monte Carlo

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describes a project that uses

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2019.1566536

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cites work

Stochastic simulation: Algorithms and analysis

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Integrated Variance Reduction Strategies for Simulation

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General closed-form basket option pricing bounds

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Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

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Q4549500

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Pricing of arithmetic basket options by conditioning.

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Bounds for Asian basket options

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Random variate generation by numerical inversion when only the density is known

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Control variates and conditional Monte Carlo for basket and Asian options

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Variance Reduction for Asian Options under a General Model Framework*

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Q4433608

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Smoothed (conditional) perturbation analysis of discrete event dynamical systems

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Numerical techniques for the valuation of basket options and their Greeks

0 references

Q4549506

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Control variates for quasi-Monte Carlo (with comments and rejoinder)

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Upper and lower bounds for sums of random variables

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Efficient basket Monte Carlo option pricing via a simple analytical approximation

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SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS

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Variance Reduction via Lattice Rules

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On coordinate transformation and grid stretching for sparse grid pricing of basket options

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Monte Carlo and quasi-Monte Carlo sampling

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The multivariate Variance Gamma model: basket option pricing and calibration

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A multivariate jump-driven financial asset model

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Control Variate Remedies

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Scrambled net variance for integrals of smooth functions

0 references

Efficient Monte Carlo pricing of European options using mean value control variates

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Multidimensional quasi-Monte Carlo Malliavin Greeks

0 references

Pricing and hedging Asian basket options with quasi-Monte Carlo simulations

0 references

Q4935943

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The value of an Asian option

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Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

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CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM

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Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables

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Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions

0 references

Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods

0 references

Accurate closed-form approximation for pricing Asian and basket options

0 references

Identifiers

zbMATH Open document ID

1499.91171

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DOI

10.1080/00207160.2019.1566536

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5031759

@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2019.1566536
+Normal rank
@@ Property / OpenAlex ID @@
+W2909863301
@@ Property / OpenAlex ID: W2909863301 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Integrated Variance Reduction Strategies for Simulation
+Normal rank
@@ Property / cites work @@
+General closed-form basket option pricing bounds
@@ Property / cites work: General closed-form basket option pricing bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
+Normal rank
@@ Property / cites work @@
+Q4549500
@@ Property / cites work: Q4549500 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing of arithmetic basket options by conditioning.
+Normal rank
@@ Property / cites work @@
+Bounds for Asian basket options
@@ Property / cites work: Bounds for Asian basket options / rank @@
+Normal rank
@@ Property / cites work @@
+Random variate generation by numerical inversion when only the density is known
+Normal rank
@@ Property / cites work @@
+Control variates and conditional Monte Carlo for basket and Asian options
+Normal rank
@@ Property / cites work @@
+Variance Reduction for Asian Options under a General Model Framework*
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Smoothed (conditional) perturbation analysis of discrete event dynamical systems
+Normal rank
@@ Property / cites work @@
+Numerical techniques for the valuation of basket options and their Greeks
+Normal rank
@@ Property / cites work @@
+Q4549506
@@ Property / cites work: Q4549506 / rank @@
+Normal rank
@@ Property / cites work @@
+Control variates for quasi-Monte Carlo (with comments and rejoinder)
+Normal rank
@@ Property / cites work @@
+Upper and lower bounds for sums of random variables
+Normal rank
@@ Property / cites work @@
+Efficient basket Monte Carlo option pricing via a simple analytical approximation
+Normal rank
@@ Property / cites work @@
+SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
+Normal rank
@@ Property / cites work @@
+Variance Reduction via Lattice Rules
@@ Property / cites work: Variance Reduction via Lattice Rules / rank @@
+Normal rank
@@ Property / cites work @@
+On coordinate transformation and grid stretching for sparse grid pricing of basket options
+Normal rank
@@ Property / cites work @@
+Monte Carlo and quasi-Monte Carlo sampling
@@ Property / cites work: Monte Carlo and quasi-Monte Carlo sampling / rank @@
+Normal rank
@@ Property / cites work @@
+The multivariate Variance Gamma model: basket option pricing and calibration
+Normal rank
@@ Property / cites work @@
+A multivariate jump-driven financial asset model
@@ Property / cites work: A multivariate jump-driven financial asset model / rank @@
+Normal rank
@@ Property / cites work @@
+Control Variate Remedies
@@ Property / cites work: Control Variate Remedies / rank @@
+Normal rank
@@ Property / cites work @@
+Scrambled net variance for integrals of smooth functions
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo pricing of European options using mean value control variates
+Normal rank
@@ Property / cites work @@
+Multidimensional quasi-Monte Carlo Malliavin Greeks
+Normal rank
@@ Property / cites work @@
+Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
+Normal rank
@@ Property / cites work @@
+Q4935943
@@ Property / cites work: Q4935943 / rank @@
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
+Normal rank
@@ Property / cites work @@
+CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
+Normal rank
@@ Property / cites work @@
+Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
+Normal rank
@@ Property / cites work @@
+Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
+Normal rank
@@ Property / cites work @@
+Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Accurate closed-form approximation for pricing Asian and basket options
+Normal rank