Multilevel Path Simulation for Jump-Diffusion SDEs

DOI10.1007/978-3-642-27440-4_41zbMath1270.91099arXiv1106.4730OpenAlexW148696609MaRDI QIDQ5326141

Michael B. Giles, Yuan Xia

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.4730

zbMATH Keywords

option pricingjump-diffusion SDEsfinite rate activitymultilevel Monte Carlo path simulation method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (13)

Multi-index Monte Carlo: when sparsity meets sampling ⋮ Importance sampling and statistical Romberg method for Lévy processes ⋮ Measuring Impact of Random Jumps Without Sample Path Generation ⋮ Multilevel Monte Carlo method for ergodic SDEs without contractivity ⋮ Unbiased parameter inference for a class of partially observed Lévy-process models ⋮ Adaptive importance sampling for multilevel Monte Carlo Euler method ⋮ Monte Carlo convergence rates for \(k\)th moments in Banach spaces ⋮ Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation ⋮ On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters ⋮ Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris–Lecar model ⋮ Optimization of mesh hierarchies in multilevel Monte Carlo samplers ⋮ Optimal importance sampling for Lévy processes ⋮ A continuation multilevel Monte Carlo algorithm

Cites Work

• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
• Numerical solution of stochastic differential equations with jumps in finance
• Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
• Multilevel Monte Carlo Path Simulation
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous
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