Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options

DOI10.1287/MNSC.1080.0953MaRDI QIDQ3117805zbMATH OpenOpenAlexFDO

Authors Vladimir K. Kaishev, Dimitrina S. Dimitrova

Publication date 1 March 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/8539/1/Kaishev%2C%20Dimitrova%20%282009%29%20MS.pdf

zbMATH Keywords

Dirichlet partitionsgamma bridge variancegamma processoption pricingquasi-Monte Carlo Kingman limit

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(13)

• A general control variate method for option pricing under Lévy processes
• American step options
• Systemic risk tradeoffs and option prices
• On the estimation of regime-switching Lévy models
• Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model
• Sequential sampling for CGMY processes via decomposition of their time changes
• Generalized Inv-Log-Gamma-G processes
• Lévy processes induced by Dirichlet (B-)splines: modeling multivariate asset price dynamics
• Lookback option pricing using the Fourier transform B-spline method
• Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models
• Variance-gamma and Monte Carlo
• Time-consistent asset allocation for risk measures in a Lévy market
• Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing

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