Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options

DOI10.1287/mnsc.1080.0953zbMath1232.91711OpenAlexW2149923050MaRDI QIDQ3117805

Vladimir K. Kaishev, Dimitrina S. Dimitrova

Publication date: 1 March 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/8539/1/Kaishev%2C%20Dimitrova%20%282009%29%20MS.pdf

zbMATH Keywords

option pricinggamma processDirichlet partitionsgamma bridge variancequasi-Monte Carlo Kingman limit

Mathematics Subject Classification ID

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

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On the estimation of regime-switching Lévy models ⋮ Systemic risk tradeoffs and option prices ⋮ Generalized Inv-Log-Gamma-G processes ⋮ LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS ⋮ American step options ⋮ A general control variate method for option pricing under Lévy processes ⋮ Lookback option pricing using the Fourier transform B-spline method

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