Likelihood ratio gradient estimation for Meixner distribution and Lévy processes

DOI10.1007/S00180-011-0288-7zbMath1304.65044OpenAlexW2058603542MaRDI QIDQ2512758

Reiichiro Kawai

Publication date: 30 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/10147

zbMATH Keywords

Monte Carlo simulationLévy processacceptance-rejection samplingGreeksMeixner processEsscher density transformlikelihood ratio methodMeixner distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (4)

On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes ⋮ A general control variate method for option pricing under Lévy processes

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• Simulation and Estimation of the Meixner Distribution
• On the Laws of First Hitting Times of Points for One-Dimensional Symmetric Stable Lévy Processes
• Lévy processes, polynomials and martingales

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