Pages that link to "Item:Q3116021"
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The following pages link to Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model (Q3116021):
Displaying 34 items.
- A general control variate method for option pricing under Lévy processes (Q132360) (← links)
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (Q395995) (← links)
- Fast orthogonal transforms and generation of Brownian paths (Q413477) (← links)
- Quasi-Monte Carlo methods with applications in finance (Q964676) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Revisit of stochastic mesh method for pricing American options (Q1043249) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (Q1994388) (← links)
- Quasi-Monte Carlo simulation for American option sensitivities (Q2146323) (← links)
- A general control variate method for Lévy models in finance (Q2178156) (← links)
- A fast numerical method for the valuation of American lookback put options (Q2198448) (← links)
- Optimal importance sampling for Lévy processes (Q2289777) (← links)
- Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
- On the conditional increments of degradation processes (Q2438501) (← links)
- Systemic risk tradeoffs and option prices (Q2442518) (← links)
- (Q2888116) (← links)
- An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model (Q2924611) (← links)
- Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy (Q3088978) (← links)
- The time machine: a simulation approach for stochastic trees (Q3104854) (← links)
- Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options (Q3117805) (← links)
- Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber (Q3565102) (← links)
- An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process (Q3567028) (← links)
- Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation (Q3600420) (← links)
- On the numerical evaluation of option prices in the variance gamma model (Q3603600) (← links)
- An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting (Q5031764) (← links)
- Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning (Q5087735) (← links)
- Forward or backward simulation? A comparative study (Q5139227) (← links)
- Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263) (← links)
- On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws (Q5326124) (← links)
- Quasi-Monte Carlo methods for the Kou model (Q5502856) (← links)
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction (Q5738153) (← links)
- Simulation of Tempered Stable Lévy Bridges and Its Applications (Q5740225) (← links)
- A new method for generating approximation algorithms for financial mathematics applications (Q5745631) (← links)
- Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)
