Simulating Lévy processes from their characteristic functions and financial applications

DOI10.1145/2331140.2331142MaRDI QIDQ4635193zbMATH OpenOpenAlexFDO

Authors Zisheng Chen, Liming Feng, Xiong Lin

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

zbMATH Keywords

control variatesHilbert transformrandomized quasi-Monte Carlo methodoptions pricinganalytic characteristic functioninverse transform methodLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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(13)

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• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
• Efficient simulation of Lévy-driven point processes
• A transform-based method for pricing Asian options under general two-dimensional models
• Shot noise, weak convergence and diffusion approximations
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes
• Nearly exact option price simulation using characteristic functions
• Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation

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