Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
From MaRDI portal
Publication:2512758
DOI10.1007/s00180-011-0288-7zbMath1304.65044OpenAlexW2058603542MaRDI QIDQ2512758
Publication date: 30 January 2015
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2381/10147
Monte Carlo simulationLévy processacceptance-rejection samplingGreeksMeixner processEsscher density transformlikelihood ratio methodMeixner distribution
Related Items (4)
On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes ⋮ A general control variate method for option pricing under Lévy processes
Cites Work
- On simulation of tempered stable random variates
- On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
- On layered stable processes
- Tempering stable processes
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- On the computer generation of random variables with a given characteristic function
- Processes of Meixner type
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
- Sensitivity Estimates from Characteristic Functions
- GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
- Simulation and Estimation of the Meixner Distribution
- On the Laws of First Hitting Times of Points for One-Dimensional Symmetric Stable Lévy Processes
- Lévy processes, polynomials and martingales
- Unnamed Item
- Unnamed Item
This page was built for publication: Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
