Forward or backward simulation? A comparative study
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backward Monte Carlo simulationsenergy derivativesLévy processestime-changed Ornstein-Uhlenbeck processes
Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A decomposition of Bessel Bridges
- A dynamic programming approach for pricing options embedded in bonds
- Additive subordination and its applications in finance
- Backward simulation methods for pricing American options under the CIR process
- Change of time and change of measure
- Dynamic programming and optimal control. Vol. 1.
- Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model
- Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
- Exact simulation of Bessel diffusions
- Fast orthogonal transforms and generation of Brownian paths
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 2107359 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Inverting the symmetrical beta distribution
- Multidimensional quasi-Monte Carlo Malliavin Greeks
- New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
- On the \(L_2\)-discrepancy for anchored boxes
- On the Bessel distribution and related problems
- On the discretization schemes for the CIR (and Bessel squared) processes
- Option pricing when underlying stock returns are discontinuous
- Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
- Processes of normal inverse Gaussian type
- Quasi-Monte Carlo methods with applications in finance
- Simulating bessel random variables
- Time reversal on Lévy processes
- Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
- Valuing American options by simulation: a simple least-squares approach
- Variance with alternative scramblings of digital nets
Cited in
(10)- Forward and backward simulations. I. Untimed Systems
- Correlating Lévy processes with self-decomposability: applications to energy markets
- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes
- A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets
- Gamma-related Ornstein–Uhlenbeck processes and their simulation*
- Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
- Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives
- The variance gamma++ process and applications to energy markets
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