Applications of simulation methods to barrier options driven by Lévy processes

MaRDI QIDQ2999362zbMATH OpenFDO

Authors Alin V. Roşca, Natalia C. Roşca

Publication date 13 May 2011

Full work available at URL https://eudml.org/doc/224552

zbMATH Keywords

Lévy processesmixed Monte Carlo methodquasi-Monte Carlo method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(6)

• Simulation of Lévy-driven models and its application in finance
• Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
• A mixed Monte Carlo and quasi-Monte Carlo method with applications to mathematical finance
• Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
• A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing
• Simulation of Lévy-driven models and their applications in finance

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