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

DOI10.1137/080727713zbMath1189.91207MaRDI QIDQ3567028

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

option pricing; quasi-Monte Carlo; effective dimension; generalized hyperbolic Lévy process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

65D30: Numerical integration

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