A general control variate method for Lévy models in finance
From MaRDI portal
Publication:2178156
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
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
Uses Software
Cites Work
- Unnamed Item
- A general control variate method for option pricing under Lévy processes
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Mathematical models of financial derivatives
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Computer methods for sampling from gamma, beta, Poisson and binomial distributions
- A Continuity Correction for Discrete Barrier Options
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
- GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING
- Potential Theory of Subordinate Brownian Motion
- Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
- Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Generating Random Variates Using Transformations with Multiple Roots
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- A simple method for generating gamma variables
- Variance Reduction for Asian Options under a General Model Framework*
- Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes
- Financial Modelling with Jump Processes
- General closed-form basket option pricing bounds
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options