Optimal importance sampling for Lévy processes

DOI10.1016/j.spa.2018.12.019zbMath1471.91618arXiv1608.04621OpenAlexW2964024406MaRDI QIDQ2289777

Adrien Genin, Peter Tankov

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.04621

zbMATH Keywords

Lévy processesimportance samplingoption pricingvariance reductiondeviations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Importance sampling for McKean-Vlasov SDEs ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

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