Simulating Lévy Processes from Their Characteristic Functions and Financial Applications
DOI10.1145/2331140.2331142zbMATH Open1384.60081OpenAlexW3123817978MaRDI QIDQ4635193FDOQ4635193
Liming Feng, Xiong Lin, Zisheng Chen
Publication date: 16 April 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/2331140.2331142
control variatesHilbert transformrandomized quasi-Monte Carlo methodoptions pricinganalytic characteristic functioninverse transform methodLévy process
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)
Cited In (11)
- A transform-based method for pricing Asian options under general two-dimensional models
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Unbiased Simulation of Distributions with Explicitly Known Integral Transforms
- Efficient simulation of Lévy-driven point processes
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
- A fast Monte Carlo scheme for additive processes and option pricing
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Shot noise, weak convergence and diffusion approximations
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