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

Latest revision as of 00:45, 28 July 2024

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

0 references

title

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

0 references

author

Kemal Dinçer Dingeç

0 references

published in

International Journal of Computer Mathematics

0 references

publication date

16 February 2022

0 references

zbMATH Keywords

basket options

0 references

Greeks

0 references

time-changed Brownian motion

0 references

Monte Carlo

0 references

variance reduction

0 references

randomized quasi-Monte Carlo

0 references

describes a project that uses

0 references

0 references

0 references

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1080/00207160.2019.1566536

0 references

cites work

Stochastic simulation: Algorithms and analysis

0 references

Integrated Variance Reduction Strategies for Simulation

0 references

General closed-form basket option pricing bounds

0 references

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

0 references

Q4549500

0 references

Pricing of arithmetic basket options by conditioning.

0 references

Bounds for Asian basket options

0 references

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

0 references

Control variates and conditional Monte Carlo for basket and Asian options

0 references

Variance Reduction for Asian Options under a General Model Framework*

0 references

Q4433608

0 references

Smoothed (conditional) perturbation analysis of discrete event dynamical systems

0 references

Numerical techniques for the valuation of basket options and their Greeks

0 references

Q4549506

0 references

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

0 references

Upper and lower bounds for sums of random variables

0 references

Efficient basket Monte Carlo option pricing via a simple analytical approximation

0 references

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

0 references

Variance Reduction via Lattice Rules

0 references

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

0 references

Monte Carlo and quasi-Monte Carlo sampling

0 references

The multivariate Variance Gamma model: basket option pricing and calibration

0 references

A multivariate jump-driven financial asset model

0 references

Control Variate Remedies

0 references

Scrambled net variance for integrals of smooth functions

0 references

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

0 references

Multidimensional quasi-Monte Carlo Malliavin Greeks

0 references

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

0 references

Q4935943

0 references

The value of an Asian option

0 references

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

0 references

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

0 references

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

0 references

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

0 references

DOI

10.1080/00207160.2019.1566536

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5031759

@@ Property / describes a project that uses @@
+R
@@ Property / describes a project that uses: R / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ 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