On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes

DOI10.1016/j.orl.2015.11.004zbMath1408.91233OpenAlexW2244022134MaRDI QIDQ1785463

Michael C. Fu, Guang-Xin Jiang, Cheng-long Xu

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2015.11.004

zbMATH Keywords

Lévy processesimportance samplingNewton iterationinfinitesimal perturbation analysissample average approximation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (6)

An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting ⋮ A hybrid Monte Carlo acceleration method of pricing basket options based on splitting ⋮ Optimizing Adaptive Importance Sampling by Stochastic Approximation ⋮ Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ Batching Adaptive Variance Reduction ⋮ An efficient exponential twisting importance sampling technique for pricing financial derivatives

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