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

DOI10.1080/13504860903137538MaRDI QIDQ3565102zbMATH OpenOpenAlexFDO

Authors Martin Becker

Publication date 27 May 2010

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

Full work available at URL https://doi.org/10.1080/13504860903137538

zbMATH Keywords

barrier optionsbridge Monte Carlo methodssimulation biasNIG processVG process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

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Cites work

• Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
• Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model

Cited in

(4)

• scientific article; zbMATH DE number 1990819 (Why is no real title available?)
• Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• Optimal search for parameters in Monte Carlo simulation for derivative pricing

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