Multilevel Monte Carlo for exponential Lévy models

DOI10.1007/s00780-017-0341-7zbMath1403.91371arXiv1403.5309WikidataQ59613327 ScholiaQ59613327MaRDI QIDQ2412390

Michael B. Giles, Yuan Xia

Publication date: 23 October 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.5309

zbMATH Keywords

Asian options; \(\alpha\)-stable process; multilevel Monte Carlo; exponential Lévy models; barrier options; normal inverse Gaussian process; lookback options; variance Gamma process; convergence discretely sampled running maximum

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G15: Gaussian processes

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

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