Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
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Cites work
- A multivariate jump-driven financial asset model
- Accurate closed-form approximation for pricing Asian and basket options
- Bounds for Asian basket options
- Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
- Comparing approximations for risk measures of sums of nonindependent lognormal random variables
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- Control Variate Remedies
- Control variates and conditional Monte Carlo for basket and Asian options
- Control variates for quasi-Monte Carlo (with comments and rejoinder)
- Efficient basket Monte Carlo option pricing via a simple analytical approximation
- Efficient Monte Carlo pricing of European options using mean value control variates
- Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods
- General closed-form basket option pricing bounds
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 1790434 (Why is no real title available?)
- scientific article; zbMATH DE number 1790439 (Why is no real title available?)
- scientific article; zbMATH DE number 1390900 (Why is no real title available?)
- Integrated Variance Reduction Strategies for Simulation
- Monte Carlo and quasi-Monte Carlo sampling
- Multidimensional quasi-Monte Carlo Malliavin Greeks
- Numerical techniques for the valuation of basket options and their Greeks
- On coordinate transformation and grid stretching for sparse grid pricing of basket options
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
- Pricing of arithmetic basket options by conditioning.
- Random variate generation by numerical inversion when only the density is known
- Scrambled net variance for integrals of smooth functions
- SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
- Smoothed (conditional) perturbation analysis of discrete event dynamical systems
- Stochastic simulation: Algorithms and analysis
- The multivariate variance gamma model: basket option pricing and calibration
- The value of an Asian option
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- Upper and lower bounds for sums of random variables
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- Variance reduction for Asian options under a general model framework
- Variance reduction via lattice rules
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