Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions

DOI10.1080/00207160.2019.1566536zbMath1499.91171OpenAlexW2909863301MaRDI QIDQ5031759

Kemal Dinçer Dingeç

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2019.1566536

zbMATH Keywords

Monte Carlovariance reductionbasket optionsGreekstime-changed Brownian motionrandomized quasi-Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• R
• randtoolbox
• Runuran

Cites Work

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• Numerical techniques for the valuation of basket options and their Greeks
• Upper and lower bounds for sums of random variables

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