Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber

DOI10.1080/13504860903137538zbMath1229.91333MaRDI QIDQ3565102

Martin Becker

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903137538

zbMATH Keywords

barrier options; bridge Monte Carlo methods; simulation bias; NIG process; VG process

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

Related Items

Optimal search for parameters in Monte Carlo simulation for derivative pricing, Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias

Uses Software

• R

Cites Work

• Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
• Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes