A general control variate method for Lévy models in finance
DOI10.1016/J.EJOR.2020.01.043zbMATH Open1441.91077OpenAlexW2945435177MaRDI QIDQ2178156FDOQ2178156
Authors: Kenichiro Shiraya, Hiroki Uenishi, Akira Yamazaki 
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
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Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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- Potential Theory of Subordinate Brownian Motion
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- 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
- Variance Reduction for Asian Options under a General Model Framework*
- Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
Cited In (4)
- 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
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Using the continuous price as control variate for discretely monitored options
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