A general control variate method for Lévy models in finance
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Publication:2178156
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Cites work
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A continuity correction for 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
- A general control variate method for option pricing under Lévy processes
- A simple method for generating gamma variables
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Computer methods for sampling from gamma, beta, Poisson and binomial distributions
- Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
- Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model
- Financial Modelling with Jump Processes
- General closed-form basket option pricing bounds
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
- Generating Random Variates Using Transformations with Multiple Roots
- Mathematical models of financial derivatives
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Potential Theory of Subordinate Brownian Motion
- Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Variance reduction for Asian options under a general model framework
Cited in
(6)- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- A general control variate method for option pricing under Lévy processes
- Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
- Using the continuous price as control variate for discretely monitored options
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