Applications of simulation methods to barrier options driven by Lévy processes

zbMATH Open1224.91184MaRDI QIDQ2999362FDOQ2999362

Authors: Alin V. Roşca, Natalia C. Roşca 

Publication date: 13 May 2011

Full work available at URL: https://eudml.org/doc/224552

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zbMATH Keywords

quasi-Monte Carlo methodmixed Monte Carlo methodLévy processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (6)

• Simulation of Lévy-driven models and its application in finance
• A mixed Monte Carlo and quasi-Monte Carlo method with applications to mathematical finance
• Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
• Simulation of Lévy-driven models and their applications in finance
• Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
• A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing

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