Stratified sampling and quasi-Monte Carlo simulation of Lévy processes

DOI10.1515/156939606778705155zbMath1113.65004OpenAlexW1986846687MaRDI QIDQ3431324

Gunther Leobacher

Publication date: 10 April 2007

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939606778705155

zbMATH Keywords

numerical schemesquasi-Monte Carlo methodshyperbolic market modelpricing an asian option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (8)

Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Markov Bridges, Bisection and Variance Reduction ⋮ On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ Fast orthogonal transforms and generation of Brownian paths ⋮ Numerical methods for Lévy processes ⋮ A general control variate method for option pricing under Lévy processes ⋮ Optimal importance sampling for Lévy processes ⋮ Quasi-Monte Carlo methods for the Kou model

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