Monte Carlo option pricing for tempered stable (CGMY) processes

DOI10.1007/s10690-007-9048-7zbMath1283.91196MaRDI QIDQ2461281

Peter Tankov, Jérémy Poirot

Publication date: 27 November 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9048-7

zbMATH Keywords

Monte Carlo; option pricing; Lévy process; CGMY model; tempered stable process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Numerical Methods for SPDEs with Tempered Stable Processes, Simulation of Tempered Stable Lévy Bridges and Its Applications, Importance sampling and statistical Romberg method for Lévy processes, A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates, Jump-adapted discretization schemes for Lévy-driven SDEs, On the jump activity index for semimartingales, Fast and accurate pricing of barrier options under Lévy processes, Positive solutions of European option pricing with CGMY process models using double discretization difference schemes, Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations, LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL, Unbiased Simulation of Distributions with Explicitly Known Integral Transforms, Optimal simulation schemes for Lévy driven stochastic differential equations

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