An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process

DOI10.1137/080727713MaRDI QIDQ3567028zbMATH OpenOpenAlexFDO

Authors Junichi Imai, Ken Seng Tan

Publication date 10 June 2010

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/080727713

zbMATH Keywords

effective dimensiongeneralized hyperbolic Lévy processoption pricingquasi-Monte Carlo

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Numerical integration (65D30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(17)

• A general control variate method for option pricing under Lévy processes
• A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
• Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
• Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
• Dimension reduction for pricing options under multidimensional Lévy processes
• Numerical inverse Lévy measure method for infinite shot noise series representation
• An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
• Dimension reduction approach to simulating exotic options in a Meixner Lévy market
• Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
• How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
• Generating generalized inverse Gaussian random variates by fast inversion
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
• A global adaptive quasi-Monte Carlo algorithm for functions of low truncation dimension applied to problems from finance
• A fast Monte Carlo scheme for additive processes and option pricing
• Conditional quasi-Monte Carlo with constrained active subspaces
• Dimension reduction for quasi-Monte Carlo methods via quadratic regression

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