Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes

DOI10.1080/13504860600658992MaRDI QIDQ3424322zbMATH OpenOpenAlexFDO

Authors Claudia Ribeiro, Nick Webber

Publication date 15 February 2007

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860600658992

zbMATH Keywords

bridge Monte Carlo methodsexotic options valuationLévy processessimulations bias

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
• A general control variate method for option pricing under Lévy processes
• A general control variate method for Lévy models in finance
• Simulation of Lévy-driven models and their applications in finance

Cites work

• A continuity correction for discrete barrier options
• Algorithm 654
• Algorithm 659
• Connecting discrete and continuous path-dependent options
• Generating Random Variates Using Transformations with Multiple Roots
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 41077 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• Hyperbolic distributions in finance
• Option Pricing With V. G. Martingale Components¹
• Term structure models driven by general Lévy processes
• The normal inverse gaussian lévy process: simulation and approximation
• The variance gamma process and option pricing

Cited in

(12)

• A general control variate method for Lévy models in finance
• On the conditional increments of degradation processes
• Optimal search for parameters in Monte Carlo simulation for derivative pricing
• Correcting the Bias in Monte Carlo Estimators of American-style Option Values
• Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber
• Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• scientific article; zbMATH DE number 1990819 (Why is no real title available?)
• Markov Bridges, Bisection and Variance Reduction
• Simulation of Lévy-driven models and their applications in finance
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
• Numerical methods for Lévy processes

This page was built for publication: Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3424322)