On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes

DOI10.1016/J.ORL.2015.11.004zbMATH Open1408.91233OpenAlexW2244022134MaRDI QIDQ1785463FDOQ1785463

Authors: Michael C. Fu, Guangxin Jiang, Chenglong Xu 

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2015.11.004

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zbMATH Keywords

importance samplingNewton iterationsample average approximationinfinitesimal perturbation analysisLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Empirical properties of asset returns: stylized facts and statistical issues
• Robust Stochastic Approximation Approach to Stochastic Programming
• A general control variate method for option pricing under Lévy processes
• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• Optimal importance sampling parameter search for Lévy processes via stochastic approximation
• An importance sampling method based on the density transformation of Lévy processes
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• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• A study on the cross-entropy method for rare-event probability estimation
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• Handbooks in operations research and management science: Simulation
• A framework for adaptive Monte Carlo procedures
• Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
• Robust adaptive importance sampling for normal random vectors
• Sensitivity estimates from characteristic functions

Cited In (9)

• An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
• Non-parametric partial importance sampling for financial derivative pricing
• Optimal importance sampling parameter search for Lévy processes via stochastic approximation
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
• An efficient exponential twisting importance sampling technique for pricing financial derivatives
• On an automatic and optimal importance sampling approach with applications in finance
• Optimizing adaptive importance sampling by stochastic approximation
• Batching Adaptive Variance Reduction

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