Likelihood ratio gradient estimation for Meixner distribution and Lévy processes

DOI10.1007/s00180-011-0288-7zbMath1304.65044MaRDI QIDQ2512758

Reiichiro Kawai

Publication date: 30 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/10147

zbMATH Keywords

Monte Carlo simulation; Lévy process; acceptance-rejection sampling; Greeks; Meixner process; Esscher density transform; likelihood ratio method; Meixner distribution

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

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A general control variate method for option pricing under Lévy processes, On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling, On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes, Numerical inverse Lévy measure method for infinite shot noise series representation

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