scientific article; zbMATH DE number 5499191

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Publication:5506181

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zbMath1159.62069MaRDI QIDQ5506181

Michael C. Fu

Publication date: 28 January 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

importance sampling Monte Carlo simulation variance reduction Levy process variance-gamma process Greece

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items (8)

Multinomial method for option pricing under Variance Gamma ⋮ The acceptance-rejection method for low-discrepancy sequences ⋮ On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation ⋮ Numerical techniques in Lévy fluctuation theory ⋮ Optimal importance sampling for Lévy processes ⋮ Option valuation under the VG process by a DG method. ⋮ Revisit of stochastic mesh method for pricing American options ⋮ Sensitivity analysis for averaged asset price dynamics with gamma processes

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