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

DOI10.1080/13504860600658992zbMATH Open1142.91563OpenAlexW1979539073MaRDI QIDQ3424322FDOQ3424322

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

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
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zbMATH Keywords

bridge Monte Carlo methodsLévy processesexotic options valuationsimulations bias

Mathematics Subject Classification ID

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

Cites Work

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• Connecting discrete and continuous path-dependent options
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Cited In (11)

• Title not available (Why is that?)
• 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
• Markov Bridges, Bisection and Variance Reduction
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• A general control variate method for Lévy models in finance
• Optimal search for parameters in Monte Carlo simulation for derivative pricing
• On the conditional increments of degradation processes
• Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
• Numerical methods for Lévy processes
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY

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