Dimension reduction for pricing options under multidimensional Lévy processes

DOI10.1007/s10690-014-9190-yzbMath1368.91172OpenAlexW2052783900MaRDI QIDQ2398582

Publication date: 16 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9190-y

zbMATH Keywords

quasi-Monte Carlo dimension reduction method normal variance-mean mixture multidimensional Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

Cites Work

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