A general control variate method for Lévy models in finance

DOI10.1016/j.ejor.2020.01.043zbMath1441.91077OpenAlexW2945435177MaRDI QIDQ2178156

Akira Yamazaki, Hiroki Uenishi, Kenichiro Shiraya

Publication date: 7 May 2020

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.01.043

zbMATH Keywords

Monte Carlo simulationLévy processpath-dependent optionscontrol variate

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations

Uses Software

• ghyp

Cites Work

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