Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes

DOI10.1080/13504860600658992zbMath1142.91563OpenAlexW1979539073MaRDI QIDQ3424322

Claudia Ribeiro, Nick Webber

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600658992

zbMATH Keywords

Lévy processesbridge Monte Carlo methodsexotic options valuationsimulations bias

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60)

Related Items (7)

Optimal search for parameters in Monte Carlo simulation for derivative pricing ⋮ Markov Bridges, Bisection and Variance Reduction ⋮ A general control variate method for Lévy models in finance ⋮ Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias ⋮ On the conditional increments of degradation processes ⋮ 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 ⋮ Numerical methods for Lévy processes

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