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

DOI10.1080/13504860903137538zbMATH Open1229.91333OpenAlexW2093236057MaRDI QIDQ3565102FDOQ3565102

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

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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)

Cites Work

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

Cited In (4)

• Title not available (Why is that?)
• 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

Uses Software

• R

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